I think this is because the radial ticks are re-created on draw to take into account the changed theta limits. A workaround is to call fig.canvas.draw() before calling set_rgrids.

Yes, fig.canvas.draw() before set_rgrids fixed the problem. This is a good workaround, but I think there should be a fix, which would attach the font properties to the tick labels, to be used every time the canvas is drawn.

In case @AgilentGCMS has not found a workaround, here is one (although I could not find a way to offset the labels from the edge):

from matplotlib import pyplot as plt
import numpy as np

fig = plt.figure(figsize=(5, 5))
ax = plt.axes(polar=True)
ax.set_thetalim(0., np.pi/4.)
ax.set_rlim(0., 2.)

# set the size of theta ticklabels (works)
thetatick_locs = np.linspace(0.,45.,4)
thetatick_labels = [u'%i\u00b0'%np.round(x) for x in thetatick_locs]
ax.set_thetagrids(thetatick_locs, thetatick_labels, fontsize=16)

# set the size of r ticklabels (does not work)
rtick_locs = np.arange(0.5,2.0,0.7)
rtick_labels = ['%.1f'%r for r in rtick_locs]

# Workaround using ax.text (caveat: doesn't offset labels from edge)
#ax.set_rgrids(rtick_locs, rtick_labels, fontsize=16)

ax.set_yticklabels([])
for loc, lbl in zip(rtick_locs, rtick_labels):
    ax.text(0., loc, lbl,
            ha='center',
            va='top', 
            fontsize=16)

plt.show();

@CatChenal I used the workaround of @QuLogic

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In general, the problem with kwargs on set_*grids is that these apply only to the then defined tick instances.

Various operations can create/delete/modify these so that there is no guarantee these properties are maintained.

The better approach is to use ax.tick_params(labelsize=16) here, which defines the Axis-defaults and suvives any further operations.

#26436 documents this. Further work options

a) close because it's documented.

b) deprecate kwargs (argument: Setting individual tick properties should be transparent to the user and they should do it explicitly themselves). This would be intentionally be more cumbersome and drive people towards set_tick_params. The risk is to annoy users, where this currently worked.

c) translate **kwargs to setting tick_params. This is conceptually reasonable, but there is not a simple 1:1 mapping, both naming wise, and not all Text kwargs are exposed via tick_params. So doing this properly would be cumbersome.

I suggest to stick with a).