You're right, this is something that isn't working on PyDev/Eclipse.
Please create a feature request at
https://sw-brainwy.rhcloud.com/tracker/PyDev/
Note: the work is guided through votes in the tracker or pull requests, if someone is interested in doing a pull-request, the related class would be: org.python.pydev.editor.PyDoubleClickStrategy (and details for getting the pydev code: http://pydev.org/developers.html)