I think I figured out why it didn't work on E. I assume you tried to use it on E first, and Cyke tried C first. There is a bug in the pygame_demo.py. SDL -2 indicates error in Python script. Actually it's some Python error, not SDL.
The evil line:
The uninstaller didn't remove the pygame directory because there was stdout.txt, so E: worked for Cyke. Actually that's why it worked for me too
E61i may not work because:
a)it's first 3rd edition device so maybe SDL does not work on it.
b) I compiled the thing with 5th edition because I couldn't get SDL to compile on MR
c) it's display is different than the other devices have.
d) Maybe E61i doesn't like sysinfo, which is the only extension built into the pygame_python.dll.
JOM: Could you try if Doom for S60 works on E61i? That would eliminate a and c options from the list of causes.
Missing icon... might show after device reboot.
Edit: JOM, you are too fast