This looks pretty good, thank you :) I think we can simply ignore the ConversationHandler for this and say that you can either change state OR stop propagation. However, I would like to see some unit tests (similar to what you had in #666), in test_updater.py I guess.

Ok, so we want to check, that StopPropagetion exception won't change ConversationHandler state, correct? I'll send new changes asap :)

@s-chizhik
We are aware that your PR was here first, however #738 covers an additional scenario and has unitests.
In general you've both came to a similar solution which kinda suggests that this is going in the right direction.
If you are still interested in seeing this integrated, I suggest that you join forces with @ihoru and work on top of #738.
Therefor I am closing this PR.