Here is a simple example were the use of greek letters with Latex fails:

import matplotlib.pyplot as plt
X = [[1.,1.], [2.,2.], [3.,3.]]
Y = [[1.,1.], [2.,2.], [3.,3.]]
fig = plt.figure()
ax = fig.add_subplot(111)
ax.scatter(X, Y)
ax.set_xlabel('$\rho$')
plt.show()

Notice that some letters, as \phi, work, and others don't.

I'm using Python2.7 on a Mac with Yosemite, and python and all packages were
installed using Macport and my Matplotlib is
py27-matplotlib @1.5.2_0+cairo (active)