A 12-hour clock has no 0 hour; %I will only match 1 through to 12. Your timestamp has an impossible time in it:
0:03 pm
From the strftime() and strptime() Behavior documentation:
%I
Hour (12-hour clock) as a zero-padded decimal number.
01, 02, ..., 12
Assuming 0 is really 12, you could repair this by replacing the ' 0:' with '12:' (note the leading space for the zero!):
>>> from datetime import datetime
>>> latest_datetime = 'Feb 1, 2017 0:03 pm'
>>> datetime.strptime(latest_datetime.replace(' 0:', '12:'), "%b %d, %Y %I:%M %p")
datetime.datetime(2017, 2, 1, 12, 3)
It doesn't really matter if you have one or two spaces between the year and the hour, the string will be parsed either way.