After some testing, as suggested, I have found what works and what not...

PyMUI 0.4 r222 does not work with the final Python 2.5.4 r129 or r101 despite what is said in installation instructions or on MorphOS Files archive.
PyMUI 0.3 r162 is working with any of the two final releases.

@DiskDoctor
I did not try PyMUI 0.4 or 0.3 with Python 2.4 because I may want to use Python Imaging Library which aparently works only with 2.5.