Maybe it's just me, but I actually think that line had some clever hidden double meaning to it... sure, it blatantly references that the Muppets are actually puppets (then again, all Muppet movies have been known for meta references, breaking the fourth wall, destroying the fourth wall, moving on and breaking the fifth wall, etc), but when you think about it, it's also kind of a jab at Hollywood in general... you know how they say politics are full of "puppets"? Well, Hollywood's full of 'em too.