The first way to import modules implies that there's a reason you import pygame from settings and not directly.
You might have modified some variables, functions or objects from pygame in settings.py, so that the stuff imported from settings.pygame has different behavior than that imported from pygame directly.
Just for the sake of an example (of how not to do it I'd say):
Say your pygame.py has a function like:
enemy_action( In_1, ... , In_n, DIFFICULTY )
In your settings.py you now probably have the difficulty setting stored, so you could redefine the function with DIFFICULTY already set by creating a decorator for the function:
pygame.DIFFICULTY = DIFFICULTY
def pygame.difficulty_setter(f):
def inner(*x, DIFFICULTY = pygame.DIFFICULTY):
return f(*x,DIFFICULTY = pygame.DIFFICULTY)
return inner
If you now set
enemy_action = pygame.difficulty_setter(enemy_action)
The function enemy_action wouldn't need to be passed the DIFFICULTY parameter anymore.