It works fine here, using 0.18.1.1-1ubuntu2 (but this does not seem to be a downstream patch). Maybe you need to explicitly use xgettext --language=Python ?

Also, you don't need \ for string multiline concatenation. It is implicit in Python:

CODE:
print _("this works fine" \
        " but it is ugly")
print _("this works"
        " just as fine")

OUTPUT:
this works fine but it is ugly
this works just as fine

xgettext POT result:
#: g.py:1242
msgid "this works fine but it is ugly"
msgstr ""

#: g.py:1244
msgid "this works just as fine"
msgstr ""