compile a game with py2exe : DLL load failed

You should try pfreeze, Nirai, or Nuitka instead of py2exe. If you’re trying to hide your source, Nirai is recommended, and py2exe just stores code in a zip file, so py2exe isn’t recommended. Pfreeze is easier to work with and a bit harder to decompile, but any advanced hacker can decompile it in a day. Nirai will solve all your problems; it uses a custom panda3d that uses static .lib files instead of .pyd’s (no core.pyd, but a core.lib that is initiated at runtime), and that should solve the issue you are getting.