Applying a single conditional formatting rule to multiple ranges

Created originally on Bitbucket by EightAndAHalfTails

Excel supports applying a single conditional formatting rule to multiple cell ranges at once, for example by using the notation "A1:D10,A20:D30".

However, when I try to pass a range string like the above to Workbook.conditional_formatting.add(), the formatting simply does not appear in the final file.

Note that this is not the same as applying two separate rules to each range individually. If you wanted to have a ColourScaleRule across two separate datasets, only the one-rule method would preserve the same colour for the same values. Having two rules would make each rule scale to its own data.

Another user has mentioned this bug on stackoverflow here

Is there a way to make this work that's non-obvious, or is this a bug?