Hi. Unfortunately I reproduced the error and was not able to  fix it :-(((((.
There is something I don't understand  and I think  this is  Boost.Python bug.

I do made some progress.

1. When you derive Python class from a C++ one you have to define __init__
    method, otherwise your code will not work:

class MyEvent(EventImpl):
    def __init__( self ):
        EventImpl.__init__( self )
 
    def Notify(self):
        print "Notify!"

2. I did small research for you. Read this post:
   http://aspn.activestate.com/ASPN/Mail/Message/cpp-sig/1331901
   and take a look on Boost.Python unit tests:
   http://boost.cvs.sourceforge.net/boost/boost/libs/python/test/auto_ptr.cpp?view=markup
   http://boost.cvs.sourceforge.net/boost/boost/libs/python/test/auto_ptr.py?view=markup

What I found is:
The ownership is really transfered. You can check this using simple technique:
        Add new function to EventImpl:
          virtual std::string class_name() const { return "EventImpl"; }
        Add free function:
           std::string get_class_name( const std::auto_ptr<EventImpl>& e ){
               if( e.get() ){
                   return e->class_name();
               }
               else{
                  return "no object";
               }
           }
        You will get the answer "no object", after "Schedule" call.
So, may be you don't have to delete the Python object.

I will submit the bug to the Boost.Python mailing list, hope somebody will be able to help.

--
Roman Yakovenko
C++ Python language binding
http://www.language-binding.net/