This is because the SocketType or _socketobject in socket.py is assembled partially dynamically at runtime and our static analysis engine can't intepret that code (it's at line 226 of socket.py in Python 2.7.6 where it iterates over _socketmethods to add methods to _socketobject; location may vary by exact Python version but it's probably just after the regular class def of _socketobject in all of them).
One way to deal with this is to set a breakpoint after s = socket.socket() and run to it and then the auto-completer uses the live runtime state so the complete contents will be there. Working like this also has the advantage that you can try out code right away in Wing IDE Pro's Debug Probe (a Python shell that runs in the current debug stack frame).
I'll also see if we can improve this for the static analysis case. We do have manual overrides for some things and this case seems like it should be added.