I am finding that py2exe (0.6.9) does not include xml.etree.ElementTree or cElementTree in the build. In this case, PyXML is installed.
When specifying xml.etree.ElementTree in the 'packages' option to force the package to be included, py2exe will raise an ImportError. It looks like it assumes that modules that start with "xml" will always be under the _xmlplus parent.
Please see the attached sample python script and setup.py for a simple illustration.