Old-style p.check.df=1, p.check.dc=1, p.check.dh=1 is no longer valid. That one was inspired from MATLAB syntax.
So for now you should use p.checkdf(), p.checkdc(), p.checkdh() instead. If you want to check 1st derivatives in point x (i.e. other than p.x0) than you should use p.checkdf(x), p.checkdc(x), p.checkdh(x). See updated example checkDerivatives.py from openopt/examples (or the link from OO Doc webpage).