Thanks for the response, but I really don't think this is the intended behaviour! If you type
M-x python-mode <RET>
if a == 3:<RET>
the cursor will jump back and forth between column 0 and 4 on every alternate line, which simply does not make sense.
As for the documentation, here is the relevant paragraph from C-h k RET:
If `electric-indent-mode' is enabled, this indents the final new line
that it adds, and reindents the preceding line. To just insert
a newline, use M-x electric-indent-just-newline.
Since we're in electric-indent-mode in the test case (it is enabled by default for me in emacs -Q), the behaviour I've seen definitely does not match the documentation.