Donald Stufft added the comment:

It's somewhat of a grey area of security feature. It's not directly a security 
feature but if you don't have SNI and you hit a site that requires it then your 
error message is going to be something like what people run into with PyPI[1] 
which is "Cannot verify pypi.python.org, does not match hostname 
*.a.ssl.fastly.net". At this point most people go "What?" and assume the site 
is at fault and disable verification. Even more frustrating is this is going to 
work fine in their browser. The answer of how to actually verify this is 
without SNI is (once you even figure out the problem is SNI, which is non 
obvious) verify against what's actually in the CN of the cert, and send a Host 
header for what site you actually want. So while it is not strictly a security 
feature, it is fairly important for reasonably securely connecting to a site 
that requires SNI for the lay person.

[1] PyPI's problem is no SNI but that some clients don't support SAN 
certificates, but the error message is exactly the same.

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<http://bugs.python.org/issue5639>
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