Sesame Street rarely does anything about Holidays when it isn't a special. That does not include storybooks, coloring books, or obvious merchandising. The Shalom Sesame series deals with Jewish Culture, and while some of them are Holidays, they're mostly just about history and culture, mostly Israel related. In fact, the original 80's series only had Chanukah and Passover episodes. The Chanukah one being really strange, talking mostly about the historical context. Mainly because, as I'm lead to believe, it really isn't a big deal over there as it is here, where it's pumped up to be a competitor for Christmas.
For that matter, I'm surprised there has never been a Christmas episode of Muppet Babies. Outside of the same storybook/coloring book stuff, that's the one place in the Muppet oeuvre where Christmas hasn't reached.