The format of your date isn't quite right for MongoDB Extended JSON, but this is how:
>>> import pymongo
>>> from bson.json_util import loads
>>> client = pymongo.MongoClient()
>>> client.test.test.insert_one(loads('{"data" : {"$date": "2010-03-02T19:57:41.500Z"}}'))
<pymongo.results.InsertOneResult object at 0x7f0e3689ca00>
>>> client.test.test.find_one()
{u'_id': ObjectId('575f61adfa5bd80b59af282d'), u'data': datetime.datetime(2010, 3, 2, 19, 57, 41, 500000)}
MongoDB Enterprise > use test
switched to db test
MongoDB Enterprise > db.test.findOne()
{
"_id" : ObjectId("575f61adfa5bd80b59af282d"),
"data" : ISODate("2010-03-02T19:57:41.500Z")
}