A prominent feature of quantum spin liquids is fractionalization of the spin degree of freedom. Fractionalized excitations have their own dynamics in different energy scales, and hence, affect finite-temperature (T ) properties in a peculiar manner even in the paramagnetic state harboring the quantum spin liquid state. We here present a comprehensive theoretical study of the spin dynamics in a wide T range for the Kitaev model on a honeycomb lattice, whose ground state is such a quantum spin liquid. In this model, the fractionalization occurs to break up quantum spins into itinerant matter fermions and localized gauge fluxes, which results in two crossovers at very different T scales. Extending the previous study for the isotropic coupling case [J. Yoshitake, J. Nasu, and Y. Motome, Phys. Rev. Lett. 117, 157203 (2016)], we calculate the dynamical spin structure factor S(q, ω), the NMR relaxation rate 1/T1, and the magnetic susceptibility χ while changing the anisotropy in the exchange coupling constants, by using the dynamical mean-field theory based on a Majorana fermion representation. We describe the details of the methodology including the continuous-time quantum Monte Carlo method for computing dynamical spin correlations and the maximum entropy method for analytic continuation. We confirm that the combined method provides accurate results in a wide T range including the region where the spins are fractionalized. We find that also in the anisotropic cases the system exhibits peculiar behaviors below the high-T crossover whose temperature is comparable to the average of the exchange constants: S(q, ω) shows an inelastic response at the energy scale of the averaged exchange constant, 1/T1 continues to grow even though the equal-time spin correlations are saturated and almost T independent, and χ deviates from the Curie-Weiss behavior. In particular, when the exchange interaction in one direction is stronger than the other two, the dynamical quantities exhibit qualitatively different T dependences from the isotropic case at low T , reflecting the opposite parity between the flux-free ground state and the flux-excited state, and a larger energy cost for flipping a spin in the strong interaction direction. On the other hand, when the exchange anisotropy is in the opposite way, the results are qualitatively similar to those in the isotropic case. All these behaviors manifest the spin fractionalization in the paramagnetic region. Among them, the dichotomy between the static and dynamical spin correlations is unusual behavior hardly seen in conventional magnets. We discuss the relation between the dichotomy and the spatial configuration of gauge fluxes. Our results could stimulate further experimental and theoretical analyses of candidate materials for the Kitaev quantum spin liquids.