I thought "just a look into ANY existing PythonDbglog, probably it contains ANY city built msg" (without starting the game == init file)
Haha, the funny thing is, that I had to leave too 15min after my last (desperate

) post ...
So I had to wait 3 days 'til I found the answer:
Start game as Portugal, ctrl-shift-click 4 settlers, build cities: Bang, #3 is it.
PY:City Built Event: Guimarães
I was uncertain whether ShowPythonDebugMsgs toggles also this kind of messages. It does not.
Note: with ShowPythonDebugMsgs = 0
NO exception occurs, even the special character is printed correctly!!!
I like ShowPythonDebugMsgs = 1, because I NEVER look into the PythonErrlog files until I get a popup telling me an exception occured ...
So if you had ShowPythonDebugMsgs off all the time,
how do you check for exceptions?
(I'm looking for more convenient ways all the time, eg. on purpose load my mod implicit, just load a savegame and click OK for loading mod)