Unixish system won't let You execute a setuid script with the setuid privileges. Only real machine code can be executed so. But of course, there are workarounds. When, say, you have a perl script with setuid bit set, and sperl (setuid root perl) is installed, the perl interpreter choses sperl to interpret your script (sperl makes it impossible to execute a symlink attak, which is the reason why UNIX does not leverage privileges for setuid scripts). So, You may write a perl suid wrapper for your python script, and let sperl execute it.
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