I also wondered, what this warnings mean. I never found
an answer. The only thing I can tell is that I never had
problems with exe files created with py2exe (all versions
up to 0.3.3).
The only tip I can give is
python setup.py py2exe -w
works but
pythonw setup.py py2exe
does not work. (py2exe 0.3.3)
Jean-Michel Fauth, Switzerland