SYMPTOM:
When a user tries to apply thresholds in a grid, they do not apply on the Graph in a Grid/Graph Report Services Document.
CAUSE:
The reason why users cannot apply the thresholds on the Graph is that they need to do it on the Graph itself using the option:
Apply background color to graph threshold

ACTION:
In order to have both graph and grid changing colors in a Grid/Graph Report Services Document, users will have to set them separately using the option "apply background color to graph threshold" for the graph and then set the Dataset report to Grid/Graph.