Using the latest version of plotly=6.1.2 and plotly.express=1.30.0, I was able to just remove the to_pandas() and your code just worked as is. This is because plotly, natively support polars now.

import plotly.express as px
import polars as pl

tidy_df_pl = pl.DataFrame(
    {
        "x": [10, 10, 10, 20, 20, 20, 30, 30, 30],
        "y": [3, 4, 5, 3, 4, 5, 3, 4, 5],
        "value": [5, 8, 2, 4, 10, 14, 10, 8, 9],
    }
)

print(tidy_df_pl)
pivot_df_pl = (
    tidy_df_pl.pivot(index="x", on="y", values="value")
)
print(pivot_df_pl)

fig = px.imshow(pivot_df_pl)
fig.show()

As an alternative, you can also plot the heatmap with seaborn=0.13.2, which also supports polars now.

import seaborn as sns
sns.heatmap(pivot_df_pl, annot=True)