You need to draw a dotted line at the threshold level to indicate where the threshold is. (the line appears as a circle on the polar graph).
Then you need to separate the values ββup to the graph in the scatter plot, based on whether they are lower, between or above the threshold values, and color the dots accordingly.

import matplotlib
matplotlib.use('TkAgg')
import matplotlib.pyplot as plt
import pandas as pd
import numpy as np
dataset = {'Score': [0.25, 0.52, 0.26, 0.22, 0.31, 2.45, 3.68, 41.3, 87, 91],
'Thr1': 16.5,
'Thr2': 45.5,
'Anomaly':[0, 0, 0, 0, 0, 0, 0, 1, 1, 1]}
df = pd.DataFrame(data=dataset)
scores = df['Score']
theta, thr_1, thr_2 = df.index.values, dataset['Thr1'], dataset['Thr2']
fig = plt.figure()
ax = fig.add_subplot(111, projection='polar')
colors = ['b' if val < thr_1 else 'y' if val < thr_2 else 'r' for val in scores]
point_cloud = ax.scatter(theta, scores, color=colors, marker='o')
theta_xs, thr_y1, thr_y2 = np.linspace(0, 2*np.pi, 20), [thr_1] * 20, [thr_2] * 20
thr_line_1 = ax.plot(theta_xs, thr_y1, color='blue', linestyle='--', alpha=0.5)
thr_line_2 = ax.plot(theta_xs, thr_y2, color='green', linestyle='--', alpha=0.5)
plt.show()