This simply isn't true. You can package .so or .dll (or anything else) with your wheel. An example of doing it with a dll or so is here: http://stackoverflow.com/questions/24071491/how-can-i-make-a...
What you said does not disagree with me. You can have wheels depending on external dynamic libs. Or you can package them together. Both ways have good and bad sides, but if you leave them external, it's very useful to have the right dependencies.
Only in cases where you don't have wheels depending on external libraries. If you do, you should still package with the right dependency constraints. Otherwise you can install a wheel which does not work (because of missing .so)