It is a defect of Selenium.
I have the same problem in Ubuntu 12.04 behind the proxy.
Problem is in incorrect processing proxy exclusions. Default Ubuntu exclusions are located in no_proxy environment variable:
no_proxy=localhost,127.0.0.0/8
But it seems that /8 mask doesn't work for selenium. To workaround the problem it is enough to change no_proxy to the following:
no_proxy=localhost,127.0.0.1
Removing proxy settings before running python script also helps:
http_proxy= python script.py
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