What about modules that want to raise ImportError to indicate that they aren't available on the current system, perhaps because some of their dependencies are missing? For example, 'import ssl' should raise an ImportError if 'ssl.py' is present but '_ssl.so' is missing; the existence of '_ssl.so' is an internal implementation detail. And perhaps 'import trio.ssl' should raise ImportError if 'ssl' is missing. (Historically not all systems have openssl available, so this is a common situation where existing libraries contain ImportError guards.)
With PEP 479 there was a different and better way to generate a StopIteration if you wanted one (just 'return'). Here I'm afraid existing projects might actually be relying on the implicit exception leakage in significant numbers :-/
More generally, my impression is that this is one of the reasons why exceptions have fallen out of favor in more recent languages. They're certainly workable, and python's certainly not going to change now, but they do have these awkward aspects that weren't as clear 20 years ago and that now we have to live with.