This is something that I feel is "early Gonzo" sort of material. Gonzo had grown as a character by leaps and bounds from the first season to the second season to the third season, but he still had some awkward moments like this.
Gonzo is written as an adult, but especially in the first season and the second season, he seems a lot younger and naive. This has changed over time. I could never see him making a joke like this now a days. Reason one being, it's a very taboo joke. Reason two being, he's grown and he's not as naive. He's probably one of the more mature Muppets out there now.
I really don't think he would have hit on Big Bird if he knew his age and gender. It really looked to me like he JUST met him. Remember, he wouldn't dance with a male cheese. That would have been weird.