Correct me if I am wrong, but if we count sunsets by the center of the Sun apparently crossing the horizon then the Sun is supposed to set every day at latitudes under the arctic circle.

That is not how PyEphem defines sunrise and sunset. It defines sunrise as the time the top of the Sun would nominally first appear above an unobscured horizon (no mountains), and sunset as the time the top of the Sun would nominally first disappear below an unobscured horizon. The Sun has a non-zero angular radius, so that alone changes things.

Moreover, as novotny's answer explicitly addresses, the Earth's atmosphere typically makes the Sun appear to rise well before the top of the Sun would first appear to rise above the horizon if those atmospheric effects didn't exist, and appear to set well after the top of the Sun would disappear would disappear over the horizon if those atmospheric effects didn't exist.

PyEphem uses the U.S. Naval Observatory's values for the Sun's apparent angular radius (16 arc minutes) and for the typical atmosphere refraction (34 arc minutes), resulting in a total of 50 arc minutes. This makes the calculation of sunrise and sunset much easier for pyEphem: Sunrise occurs when the elevation angle of the "real" center of the Sun exceeds -50 arc minutes, and sunset occurs when the elevation angle of the "real" center of the Sun finally drops below -50 arc minutes.

As an aside, these definitions of sunrise and sunset are why daytime lasts longer than twelve hours at the equinoxes.

Correct me if I am wrong, but if we count sunsets by the center of the Sun apparently crossing the horizon then the Sun is supposed to set every day at latitudes under the arctic circle.

That is not how PyEphem defines sunrise and sunset. It defines sunrise as the time the top of the Sun would nominally first appear above an unobscured horizon (no mountains), and sunset as the time the top of the Sun would nominally first disappear below an unobscured horizon. The Sun has a non-zero angular radius, so that alone changes things.

Moreover, as notovny's answer explicitly addresses, the Earth's atmosphere typically makes the Sun appear to rise well before the top of the Sun would first appear to rise above the horizon if those atmospheric effects didn't exist, and appear to set well after the top of the Sun would disappear would disappear over the horizon if those atmospheric effects didn't exist.

PyEphem uses the U.S. Naval Observatory's values for the Sun's apparent angular radius (16 arc minutes) and for the typical atmosphere refraction (34 arc minutes), resulting in a total of 50 arc minutes. This makes the calculation of sunrise and sunset much easier for pyEphem: Sunrise occurs when the elevation angle of the "real" center of the Sun exceeds -50 arc minutes, and sunset occurs when the elevation angle of the "real" center of the Sun finally drops below -50 arc minutes.

As an aside, these definitions of sunrise and sunset are why daytime lasts longer than twelve hours at the equinoxes.