Under my configuration (Python 2.5.1 (r251:54863, Apr 18 2007, 08:51:08) [MSC v.1310 32 bit (Intel)] on win32) the sitecustomize.py is not found in the current directory. I added some testing code into site.def execsitecustomize() and found out, that the current path is not part of sys.path, but later on in the main program it is.
I don't think that allowing sitecustomize.py to be run from the current directory would be a good idea, as it gets executed automatically on any invocation of the Python program (and it could contain arbitrary code). You can put sitecustomize.py inside Lib or Lib\site-packages and it will be picked fine.
It worked like this in all previous versions of Python. I think it is very useful e.g. if you work with development versions of other libraries. Better than adding import paths via sys.path += ['abc'] at the top of Python scripts. Or is there another or better way to add project specific import paths? But at least there should be a notice in the documentation of Python 2.5 that this behaviour changed. I spend some time to find out that it was changed.