I can't seem to run the regression tests in a --without-threads build. Might be interesting to configure a buildbot this way to keep ourselves honest.
Because regrtest.py was importing test_socket_ssl without catching the ImportError exception:
If that is the reason you cannot run it, then it seems it works just fine. There is nothing wrong with tests getting skipped.
So, is this an "expected skip" or not?
No. IIUC, "expected skips" are a platform property. For your platform, support for threads is expected (whatever your platform is as log as it was built in this millenium).