I believe the H.M. stands for "Her Majesty's" (Queen Elizabeth II), meaning that the prison is under the Queen's administrative jurisdiction.
If the next reigning monarch is a king, "H.M." would carry the alternate designation of "His Majesty's"....
Oh yeah, that's right they were all in London in the movie. It's amazing how if it wasn't for Britian and Lew Grade, The Muppet Show wouldn't have existed. So did he own The Muppet Show, the two Muppet Movies and Dark Crystal for awhile and then his company got bankrupted or closed down and Jim bought the rights or something like that? I read about that somewhere. I think Henson's Place is the only time I ever seen footage of him. Maybe Muppets & Men (Disney just has to release that on one of the future DVD sets, whenever they come out).
I was watching some of Andy Sue Pig from Season 3 and speaking of The Queen, Louise Gold would later perform the puppet of The Queen for the first season and on and off the next two on Spitting Image (awesome show). I think one of the Muppet Show directors worked that show and I've read they filmed the show in the exact studio The Muppet Show was filmed
Anyway back to Caper. Like I mentioned, the first two Muppet movies were so fast pace comedy like how Mel Brooks was and the Zucker Bros. I love films like that. Esspecially how there's so many jokes to catch, some in the dialog, some visual in the background and some odvious. lol I love the scene where in "Dancing out with a star" where Kermit is dancing and then his shadow takes over and Kermit looks at the camera confused. lol
And even how this movie and the special Muppets Go To The Movies (which was a promotional tv special to promote the film) was just a great ending to The Muppet Show series.
Remember Oscar the Grouch meeting the trucker "What are you doing here?" "A very breif cameo" "me too." lol
But it's kind of sad in a way that just how all of Jim Henson's creations are all split up into 3 different companies. That's probably why it's so hard to re-release Muppet Family Christmas as well as a good precentage of the songs being cut out". It was always fun to see the little cross-overs, The Sesame Muppets were in all three movies. Even Traveling Matt and Sprocket was in Manhattan. Well okay, Sprocket was in Christmas Carol as well before I forget. lol