Not every OS that support poll seems to support POLLMSG.
diff --git a/Modules/selectmodule.c b/Modules/selectmodule.c
index 0c6771f..1c747a5 100644
--- a/Modules/selectmodule.c
+++ b/Modules/selectmodule.c
@@ -657,6 +657,8 @@
 	insint(d, "POLLRDBAND", POLLRDBAND);
 	insint(d, "POLLWRNORM", POLLWRNORM);
 	insint(d, "POLLWRBAND", POLLWRBAND);
+#ifdef POLLMSG
 	insint(d, "POLLMSG", POLLMSG);
+#endif
 #endif /* HAVE_POLL */
 }