I know that this isn't a solution to your problem, but perhaps an explanation for why it's behaving the way it is.
This has to do with the fact that Matplotlib does not actually have a 3D engine. Mplot3D takes your points and projects them to what it would look like on a 2D plot (for each object), and then Matplotlib draws each object one at a time; Matplotlib is a 2D drawing framework and Mplot3D is kind of a little hack to get some 3D functionality working without needing to write an full-blown 3D engine for Matplotlib.
This means the order in which you draw your different plots (in this case your red and black dots) matters, and if you draw your black dots after your red dots, they will appear to be in front of the red dots, regardless of their position.
Let me illustrate this with another example.
theta = np.linspace(0, 2*np.pi, 100, endpoint=True)
helix_x = np.cos(3*theta)
helix_y = np.sin(3*theta)
helix_z = theta
fig = plt.figure()
ax = fig.add_subplot(111, projection='3d')
line_x = np.zeros(100)
line_y = np.zeros(100)
ax.plot(line_x, line_y, theta, lw='3', color='r')
ax.plot(helix_x, helix_y, helix_z, lw='2', color='k')
ax.set_xlabel("Z")
ax.set_ylabel("X")
ax.set_zlabel("Y")
ax.set_xlim([-1.5,1.5])
ax.set_ylim([-1.5,1.5])
ax.set_zlim([0,2*np.pi])
This gives:
But from the top view you can see that the line is inside the helix:

However if you swap the order in which you plot these lines:
ax.plot(line_x, line_y, theta, lw='3', color='r')
ax.plot(helix_x, helix_y, helix_z, lw='2', color='k')
You then see the line drawn after the helix:

Ultimately this means that you will have to manually determine which points will be in front of the other points. Then you can use the zorder argument to determine which objects will be in front of the others. But you would have to do this for each perspective (angle, elevation). In this case you would probably have to break up the inside line into "infront_of_helix" and "behind_helix" parts and then draw them in front and behind the helix respectively.
I hope someone comes along with more elaboration on the matter though, as I'm interested in the topic myself. I know that mplot3d has some elementary methods for making sure the front points show first, I believe, when it's using the shading algorithms but I'm not exactly sure.