Not sure if this was intentional, but the segment where Ernie and Bert go to Egypt is like the opposite of a typical Ernie and Bert sketch.
Many have Ernie dragging Bert into his activities/nonsense, which Bert is not interested in, but as soon as he is enjoying the activity and really into it, Ernie just happens to be ready to end it.
In this one, Bert is the one interested in visiting an Egyptian pyramid, while Ernie is not interested, though in this case it's because Ernie is afraid. We don't really know if Bert dragged Ernie into going or if Ernie was interested but became scared as he entered the place or what. But then the statue moves when Bert's not around, scaring Ernie, but as soon as Ernie stops being scared and starts enjoying himself, Bert decides they should just go home.
I also now realize that at this point, whether the statue is real or not, Ernie is clearly no longer scared. There was really no need for them to leave then.