Proof:

================
import asyncio

async def test():
    while True:
        print('sleeping 1')
        await asyncio.gather(asyncio.sleep(1), return_exceptions=True)

async def amain():
    print('creating task')
    qwe = asyncio.Task(test())
    print('sleeping 2')
    await asyncio.sleep(2)
    print('cancelling task')
    qwe.cancel()
    print('waiting task for completion')
    try:
        await qwe
    except Exception as e:
        print('task complete: %r', e)

loop = asyncio.get_event_loop()
loop.run_until_complete(amain())

================

This program will never complete.

This case should be either fixed, or documented.

See also issue 26923, but I think this problem is different.

Thanks for reporting this. Agree, this is a bug and makes it hard (if not impossible) to use gather.  I've created a PR to address the issue.

New changeset 863b6749093a86810c4077112a857363410cc221 by Yury Selivanov in branch 'master':
bpo-32684: Fix gather to propagate cancel of itself with return_exceptions (GH-7209)
https://github.com/python/cpython/commit/863b6749093a86810c4077112a857363410cc221

New changeset 036434273e6f6905403432c973d98ade1ae58197 by Yury Selivanov (Miss Islington (bot)) in branch '3.7':
bpo-32684: Fix gather to propagate cancel of itself with return_exceptions (GH-7209) (#7222)
https://github.com/python/cpython/commit/036434273e6f6905403432c973d98ade1ae58197

New changeset 3b263e65a80cfcb1fc751834372533773ec024a4 by Yury Selivanov in branch '3.6':
bpo-32684: Fix gather to propagate cancel of itself with return_exceptions (GH-7224)
https://github.com/python/cpython/commit/3b263e65a80cfcb1fc751834372533773ec024a4

New changeset 6f75bae74866b6acf638e3aa610d830d55b7e314 by Yury Selivanov in branch 'master':
bpo-32684: Fix nits in tests (GH-7225)
https://github.com/python/cpython/commit/6f75bae74866b6acf638e3aa610d830d55b7e314

New changeset 3ddee64587482082fcbab930ff82ed67aa9f4a0d by Yury Selivanov (Miss Islington (bot)) in branch '3.7':
bpo-32684: Fix nits in tests (GH-7225) (#7231)
https://github.com/python/cpython/commit/3ddee64587482082fcbab930ff82ed67aa9f4a0d