I had issues when compiling my program with cx_freeze and pygame as well. The fix I used was to add this to my main code:
try:
import pygame._view
except:
pass
For some reason it needs this module however only in exe form. If you try to import pygame._view
normally it will throw an error. I have no idea if your setup file is correct either. I just used the basic one and filled in the areas etc. Ask any questions below.