How to set the value of a pandas column as list

Not easy, one possible solution is create helper Series:

df.loc[df.col1 == 1, 'new_col'] = pd.Series([['a', 'b']] * len(df))
print (df)
   col1  col2 new_col
0     1     4  [a, b]
1     2     5     NaN
2     3     6     NaN

Another solution, if need set missing values to empty list too is use list comprehension:

#df['new_col'] = [['a', 'b'] if x == 1 else np.nan for x in df['col1']]

df['new_col'] = [['a', 'b'] if x == 1 else [] for x in df['col1']]
print (df)
   col1  col2 new_col
0     1     4  [a, b]
1     2     5      []
2     3     6      []

But then you lose the vectorised functionality which goes with using NumPy arrays held in contiguous memory blocks.