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I do understand.
The initial thread, which is effectively a foreign thread to Python to 
begin with, when used to initialise Python, ie., call Py_Initialize(), 
is treated in a special way in as much as as a side effect it does that 
initialisation of GIL internal thread state. This is as you say. But, 
this is the only foreign thread this implicitly occurs for and why the 
main thread is a bit special.
If you were to create additional foreign threads outside of Python, ie., 
in addition to main thread which initialised it, those later threads 
should not fail the Py_DEBUG test unless the code they execute 
explicitly calls the simplified API and by doing so implicitly causes 
internal threadstate for that thread to be created.
Hope this makes sense. Sorry, in a bit of a hurry.