Your heart rate well may rise above threshold at the end of the second set. Don't worry - this is normal dig deep.
Threshold is the power/effort that you'll time trial at. By riding at 5% below threshold you'll gradually push it up. You're training your muscles to process lactic acid (pain) more efficiently at threshold effort.
It's important NOT to go above 95% of threshold as we're working on trying to push up your threshold power. Go harder and you'll be working vo2Max and doing intervals, which is for another session on another day!