The word "Shahm" means "there", and "Kahn" means "here". The purple monster wants to be "there". First he with Cookie Monster who is "here", and he is told to go "there" -- to Beautiful Day Monster. But once he gets to BDM, he is suddenly "here". CM is now over "there", so he goes over to him. At the end, CM and BDM walk away from the PM in frustration.
PM: "Am I 'there'?"
BDM "Yes, and stay there."
The other two monsters walk away, and the PM happily says "Hooray, I'm 'there'". Then that tall green monster (a modified green proto-Grover anyone?) is actually PM's mother, who comes over and says "I've been looking all over for you. What are you doing 'here'?" PM's ecstacy is suddenly dashed.