[...]
Please, let me explain why something has slipped to me and I was talking about bug... :-/ Unlike findall() or search() or match() methods, sub() hasn't flag parameter, but I was just putting re.UNICODE and re.LOCALE flags there anyway... Besides, replace.py is supposed to compile all the regexps with the re.UNICODE flag by default.
Mmm... Probably this is the last my email to mailing-list. I am going to to hide my self for shame.