In Python, people usually avoid auto imports, just because it is not worth the effort. You may slightly remove startup costs, but otherwise, there is no (or should be no) significant effect. If you have modules that are expensive to import and do a lot of stuff that doesn't need to be done, rather rewrite the module than delay importing it.
That said, there is nothing inherently wrong with auto imports. Because of the proxy nature, there may be some pitfalls (e.g. when looking at a thing that has not been imported yet). Several auto importing libraries are floating around.