I have found a work-around in Eric's comment in the following question (Stop NppExec from trapping console output until program finishes), but is there a better way?
For reference, I had the additional problem that both the program to run and its argument need to be quoted (their path contain spaces), so I had to use an extra pair of quotes:
cmd /c ""c:\my path to python with spaces\python" -u "$(FULL_CURRENT_PATH)""
Update: the same workaround is found in the following post:
http://sourceforge.net/p/npp-plugins/discussion/672146/thread/4e2bc155/
In fact, that post is even copied verbatim in section 4.6.4. "Run Python scripts with wxPython" of NppExec manual. Sadly that manual is very poorly referenced by Google, hence my question here.