This is just going to be the age old issue that most Windows code expects floating point exceptions to be masked, and Delphi's RTL unmasks them. So, mask floating point exceptions when you call into Python, and unmask them when the Python call returns. Or just mask them always if you don't care about floating point exceptions.
Of course, the floating point support for changing floating point control state is not thread safe in the Delphi RTL as I have been saying for more than a decade now.