I've to develop a server that has to make a lot of connections to receive and send small files. The question is if the increment of performance with C++ worth the time to spend on develop the code or if is better to use Python and debug the code time to time to speed it up. Maybe is a little abstract question without giving a number of connections but I don't really know. At least 10,000 connections/minute to update clients status.
With that many connections, your server will be I/O bound. The frequently cited speed differences between languages like C and C++ and languages like Python and (say) Ruby lie in the interpreter and boxing overhead which slow down computation, not in the realm of I/O.
Not only can use make good and reasonably use of concurrency (both via processes and threads, the GIL is released during I/O and thus does not matter much for I/O-bound programs), there is also a wealth of asynchronous servers. In addition, web servers in general have much better Python integration (e.g. mod_wsgi for Apache) than C and C++. This frees you from writing your own server loop, socket management, etc. which you likely won't do as well as the major servers anyway. This is assuming we're talking about a web service, and not something more arcane which Apache etc. cannot do out of the box.