Kermit and Piggy definitely have a keen interest in one another, though they are NOT a couple and are NOT married. The movies are canon to a certain point, but only if it is working into their history. Some portions of their history is related in the films, but then Hollywood takes over. After all, Kermit says, "Well, Robin, it's sort of approximately how it happened."
I think the closest acknowledgement we've ever seen and will ever see is during the VMC when Kermit comes back to the theater and everything is back to normal. We see him, while unconsciously aware he's doing it, grab the Pig and kiss her.
They definitely have feelings for one another, she more than he, but will only be able to follow through on those feelings when she doesn't come on so strongly--then, I believe, Kermit will give in.
I hope he never does, though, because unrequited love is hilarious.