It's finite index by Margulis' normal subgroup theorem.
Since $H \lhd P_{2g+1}$, and then $\rho(P_{2g+1})=\Gamma(2)$ \rho(H)\lhd \rho(P_{2g+1})$. Since $\rho(P_{2g+1})$ is finite index in $\rho(B_{2g+1})=\Gamma(2)$ (I'm taking your word for this),then $\rho(H)\lhd \Gamma(2)$.
Therefore
therefore $\rho(H)$ is either finite or finite-index in $\rho(P_{2g+1})$, and therefore in $\Gamma(2)$.
Since you also say that $\rho(H)$ is Zariski dense, it can't be
finite. Since finite-index subgroups of $\Gamma(2)$ has Sp_{2g}(\mathbb{Z})$ have the congruence subgroup property,
I think that also means that $\rho(H)=\overline{\rho(H)}$, its
congruence closure in $Sp_{2g}(\mathbb{Z})$.

