There's so many cases (arguably including the problem this PEP was designed to solve!) where having a real inline closure is just far more readable than having to arbitrarily break every single thing that happens to need 2+ expressions out into named blocks out of sequence.
Other things in Python are either simply a result of the language's age and history, or have real technical pros and cons, but that one irks me because it's an artificial limitation chosen for no reason except aesthetics.