It isn't an issue with the package. You're installing the development version, which includes utilities not meant to be included in the .sublime-package for end users.
The error is harmless anyway, but if you don't want to see the traceback, you can install the pre-built .sublime-package:https://bitbucket.org/guillermooo/mercurial/downloads
I suppose you've installed this via Package Control. If you use the link above, you won't get updates automatically, etc. You'll have to install new versions manually.
In any case, this annoyance can be solved, so if you open an issue in the GitHub repo I might get around to fixing it at some point:https://github.com/guillermooo/Mercurial