I will resurrect this old topic to clarify a little more as the answers 
here helped me, but still required some legwork.

As it seems, at leas in the python API, the default is not to return zero 
impression rows. 
The trick is that the checking of the condition appears to be 
all(value_columns.values == 0). So, if no value columns are requested, i.e. 
only categorical data, the condition will not be triggered and data comes 
anyway. That would be why @road11 sugestion worked.

To make a request with value columns and still get zero impression rows, 
one needs to *explicitly* declare the *includeZeroImpressions* header. How 
to do that might vary according to the language.

In python one could do that when creating the api_client object to have it 
added to all report requests. Alternativelly it is possible to add the 
header on a per report basis. As stated in the documentation 
<http://googleads.github.io/googleads-python-lib/googleads.adwords.ReportDownloader-class.html#DownloadReportAsStreamWithAwql>,
 
my code turned out as follows:

report_downloader.DownloadReportAsStreamWithAwql(report_query, 
                                                                            
   *include_zero_impressions=True*,
                                                                            
   skip_report_header=True, 
                                                                            
   skip_column_header=True, 
                                                                            
   skip_report_summary=True)


With that I got the expected result. 

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