You can always do your share of testing and include the necessary files for the select module with your plugin. I do this for ssl on Linux for the SFTP plugin. I also do this for ctypes for Linux on a yet to be unreleased plugin.
For the ssl module I require the user to explicitly enable the module, which isn't a big deal since it is only required by FTPS connections, which tend to be rare. Luckily with Windows you should really only need to worry about getting your hands on a 32bit and 64bit to test with. For the ssl module I had to have 32 and 64 bit for multiple different versions of libssl.