I never thought about the possibility of the unaired Little Muppet Monster segments no longer existing or being in storage. I'd like to think that they'd still exist, but I don't think there's anything officially confirmed as to whether they do or not. The Jim Henson Company clearly saved a lot of unaired pilots and pitches for shows that never made it past the pilot stages (though the Cinderella pilot was missing from the archives until recently). In the Red Book post that announced that the company found the long-lost Cinderella pilot, it was said that Jim Henson seemingly saved everything (though it seems he didn't save the deleted scenes from The Muppet Movie and most likely Great Muppet Caper, I know that Craig Shemin confirmed when he was interviewed for The MuppetCast in 2008 that he often searched for but could never find any deleted scenes from The Muppet Movie).
When it comes to the uncompleted animation, I wonder if it was Henson or Marvel who kept the storyboards, pencil tests, voice recordings, and so on. Or if both companies would have copies of everything.