The £300,000 sculpture in St Peter's Hill in Grantham, which is subject to CCTV surveillance, has been daubed with the words "Tories out".
The bronze statue was vandalised in May two weeks after a man was fined for egging the monument within hours of its installation.
Lincolnshire Police said it was being treated as criminal damage.
The sculpture, which sits atop a 10ft (3m) high plinth, was offered to South Kesteven District Council after plans to erect it in Parliament Square in London were rejected.
The baroness was born in Grantham in 1925 and died in April 2013, aged 87.
The only previous memorial to her in the town was a plaque on the corner of North Parade and Broad Street to mark where she was born.