That line is more Jim Henson saying, "What you're about to see is not real... but have fun with it anyway." I think, outside of The Muppet Show, it's anyone's guess what's canon. This is why "Muppet canon" is avoided on Muppet Wiki. For instance, Gonzo has recently been referred to as a "Weirdo" or a "Whatever," so he's not really considered an alien... but on the Muppets From Space commentary, which, since it's an interview, would seem to be be canon, Gonzo says he's an alien, and Muppets From Space is based on his discovery of that. His line removes the film itself from canon, but still claims that the events within the film are canon... confusing?