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For Python 3.5, I have attached a patch that 
 - adds relevant test cases to test_threading.py which probe
 the interpreter's stderr output for compliance with what
 the docs state.
 - makes sys.exit(msg) write msg to stderr, even if called
 from a non-primary thread, so that the tests succeed.
If we take this path, the documentation for 3.5 does not need to be adjusted.
The discussion in this thread diversified itself a bit:
> Why don't threads have their own ThreadExit exception,
> rather than overloading the use, and therefore, the 
> meaning, of the SystemExit exception? sys.exit and the
> SystemExit exception should *only* be used to exit the
> entire system, not just a thread!
While I absolutely agree that this would be conceptually cleaner, implementing this would be a larger refactoring task. Deciding whether this should be done or not slows this issue down, and I think this discussion should probably be taken elsewhere.