It seems clear enough to me that when a process terminates ("the entire Python program exits") then all of its threads must terminate. That's part of the definition of threads, to my understanding.
I think the confusion arises from the use of the word "deamon", which has been discussed as a bad thing elsewhere in this tracker. A unix user would expect a "daemon" to keep running in the background, whereas here it is exactly the opposite. See issue 5906 for example, where in the context of Multiprocessing it becomes even more confusing. Perhaps a similar note that 'daemon' does not mean what it does in unix would be a good idea.