No, that is not a bug. The Events don't have a __dict__ attribute.
The attributes that events have are described in the documentation:
âUmm, I think you are mistaken. Events are instances of "pygame.event.EventType", and the documentation you linked correctly shows ".__dict__" as an attribute.
Thanks for providing an example. I wasn't able to reproduce the problem (that is, for me the ".__dict__" attribute exists and the example works as expected). Can you output your PyGame version? Try e.g. in a shell:
>>> import pygame
>>> pygame.ver
Mine produces "1.9.2pre" (which might not be the latest).
As a sidenote, I haven't ever had occasion to use this functionality, as there are more idiomatic and clear ways to retrieve information about events' data.