I'm torn -- on the one hand, these very old modules may as well stay frozen in time (please double check that they aren't listed in PEP 594). On the other hand, for modules that are still actively maintained, the exception may as well be named Error instead of error, and a rename of error -> Error plus a new alias error = Error should take care of those. I don't recommend a deprecation of the old names though -- this feels like a really minimal maintenance burden for core devs, and potentially a big one for people using the old names.
Some more tips: please use a separate PR per module; please update all docs (both mentions of the exception in the module's comments and docstrings, and the library docs); check that there are no *other* classes in a module that also use a lowercase naming convention (if there are, that module needs more thought before we change just the exception name).
It may also be a good idea to create bugs for each module with a brief description and tagging it as "Easy" or "Easy (C)" (if there's C code involved).