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This is because another function is already binded to the
event <Key-Escape>, and Tk only calls one function per event.
I wrote a module (called MultiCall) with a function which
returns a class which inherits from a Tk widget, but wraps
the event-handling methods so that all the matching
functions will be called for each event, not just the most
specific one. It works great for me, and integrates into
IDLE very easily (a change of two lines).

I already changed the ParenMatch extension to utilize this
(and enhanced it a little), and I'm about to rewrite the
CallTips extension so that it will provide attribute
completion in the spirit of Visual C++, and use a smart
Python parsing (the parsing part I already wrote).

I hope I didn't spam you too much (at least it's better than
the horses),