I can verify that, at least in my case, the missing jump to exit disappeared when I ensured the lambda was used during the test run. Seems to me this could be considered useful coverage information, not a bug -- if anything, the branch-coverage report should special-case this to display a more informative label on the line?
It's not as good as I would like, but as of now, the HTML shows "3 ↛ exit", and the hover text reads "line 6 didn't finish the lambda on line 6".
I think this provides enough information to the reader. Getting more precise would require collecting data differently, to distinguish the line 6 execution during building the list, from line 6 execution during running the lambda. We can distinguish them based on the co_firstlineno of the frame, but we don't have a way to record that data as we go.