Hi, I encounter similar behavior in python 3.6.5 with following code:

import pickle
class CustomException(Exception):
    def __init__(self, arg1, arg2):
        msg = "Custom message {} {}".format(arg1, arg2)
        super().__init__(msg)


obj_dump = pickle.dumps(CustomException("arg1", "arg2"))
obj = pickle.loads(obj_dump)

Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
TypeError: __init__() missing 1 required positional argument: 'arg2'

So it looks like it not only python 2.7 problem