You could change the fill color of the CircleMarkers. Maybe add some popups or perhaps label them
train_df
Latitude Longitude Class
0 40.7145 -73.9425 A
1 40.7947 -73.9667 B
2 40.7388 -74.0018 A
3 40.7539 -73.9677 B
Using colors to distinguish class with a simple dict
colors = {'A' : 'red', 'B' : 'blue'}
map_osm = folium.Map(location=[40.742, -73.956], zoom_start=11)
train_df.apply(lambda row:folium.CircleMarker(location=[row["Latitude"], row["Longitude"]],
radius=10, fill_color=colors[row['Class']])
.add_to(map_osm), axis=1)
map_osm

Using colors and popups
colors = {'A' : 'red', 'B' : 'blue'}
map_osm = folium.Map(location=[40.742, -73.956], zoom_start=11)
train_df.apply(lambda row:folium.CircleMarker(location=[row["Latitude"], row["Longitude"]],
radius=10, fill_color=colors[row['Class']], popup=row['Class'])
.add_to(map_osm), axis=1)
map_osm

Using colors and 'labels' using DivIcon. Switched to using iterrows() and a for loop since we are creating CircleMarkers and Markers (for the labels)
from folium.features import DivIcon
colors = {'A' : 'red', 'B' : 'blue'}
map_osm = folium.Map(location=[40.742, -73.956], zoom_start=11)
for _, row in train_df.iterrows():
folium.CircleMarker(location=[row["Latitude"], row["Longitude"]],
radius=5, fill_color=colors[row['Class']]).add_to(map_osm)
folium.Marker(location=[row["Latitude"], row["Longitude"]], icon=DivIcon(icon_size=(150,36), icon_anchor=(0,0),
html='<div style="font-size: 16pt; color : {}">{}</div>'.format(colors[row['Class']],
row['Class']))).add_to(map_osm)
map_osm
