One fan had obtained a big document book from when Disney bought the Muppets, which had a section which mentioned that Henson previously had no copyright on MTM or MFS. A blog post featuring various scans from this document can be found here:
http://boyraisin2.blogspot.com/2013/01/disney-henson-who-owns-what.html
I have been told that "copyright" and "distribution rights" are often two different things. But I do find it odd that Henson wouldn't have had any copyright on them at all. I know that Disney does own all characters, including characters who debuted in those movies, as well as the rights to the songs from The Muppets Take Manhattan.
The Muppets Character Encyclopedia doesn't include any characters created for these movies. In the Tough Pigs interview, Craig Shemin said that his initial list of characters to include in the book included characters from MTM and Kermit's Swamp Years (he never mentioned Muppets From Space), but either Disney or the publisher didn't want to take time to obtain permission to use images from those movies so the characters were left out (though the page on Statler does use an image taken as promotion for MFS, and the page on chickens include an image of chickens on a motor boat, which looks like it was taken as promotion for MTM, obviously not a still... I wonder if Sony also owns all images taken and used for promotion and storybooks).
And yet whenever The Jim Henson Company puts out a biography or retrospective on the company or Jim Henson, they don't seem to have any problem with including clips/images from productions the company worked on but doesn't own the distribution rights to. All Jim Henson biographies to come out since 2004 do include plenty of images of Muppets and Sesame Street. Clips from The Muppets Take Manhattan have appeared in many retrospectives put out by the Henson company, including Gonzo Presents Muppet Weird Stuff (though Playhouse Video is a subsidiary of CBS/Fox Video, which had the video rights to MTM at the time, so that might have something to do with it), The Muppets: A Celebration of 30 Years, Henson's Place, The Secrets of the Muppets, The Muppets Celebrate Jim Henson, and The World of Jim Henson. Muppet Race Mania has not only tracks but clips from each of the first six Muppet movies, whether they were at the time owned by Henson (which obviously wouldn't be a problem in getting permission to use), Sony (who owns Play Station so again that wouldn't be a problem), and Disney. And the 25th anniversary album includes tracks from each of the first six movie soundtracks (and that album was released by Rhino Records, as opposed to Sony or Disney).
When Palisades had the license to make Muppet figures, I wonder if Sony's ownership of these films (and Disney's ownership of MCC and MTI) provided a challenge in getting all of the films included in the license.
Jim Henson: The Biography makes a big deal out of how Jim Henson struggled to get the distribution rights to various productions owned by ITC, but doesn't even acknowledge that Tri-Star released MTM (at one point it says the film was produced independently, not sure if that meant independently from ITC or if Henson actually produced it first and got Tri-Star to distribute later or something). In fact I think the book says that one of the reasons Disney didn't want to buy the company at Henson's desired price in 1985 was because so much was owned by other companies (though Henson would finally retain the rights to all his ITC-distributed productions by 1985 as well). Later in the book, in the chapter on the intended sale in 1989-1990, it seems to suggest that Disney would have gotten the rights to MTM if they bought the company in 1990. And the "notes" section mentions that Henson buying back the rights to all those productions from ITC included the rights to all original music and songs from those productions, which means that Henson didn't even initially own the rights to songs from TMS, TMM, GMC, and so on... Yet Disney does seem to own all the MTM songs.
And finally, after watching the first five movies recently, I noticed that the credits for the first three list the distributors as the copyright owners, but MCC and MTI list Jim Henson Productions as the copyright owner for those films. Interesting that Henson owned the copyrights on the films Disney distributed but not the earlier ones.
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! They should have at least made some of those concepts into web series or shorts or something! Also, they were making a new muppet show, and CG muppet babies 
. It's sad to see with all the cool concepts they had for muppet movies that they had to go for MWoO 
.