Well, even though I promised myself I'd hold out, I just couldn't wait any longer and bought this set:
http://www.amazon.co.uk/Muppet-Show...=sr_1_15?ie=UTF8&s=dvd&qid=1277758558&sr=8-15
It's an import from The Netherlands ( box and menus are in Dutch, but the actual content is in English with removable subtitles ) and includes 9 episodes, only 3 of which are already included in the existing boxsets. I figured it was worth the price for the 6 episodes I hadn't got ( I paid €9.99 for it ). For the record it includes the following eps: Charles Aznavour, Elton John, Alice Cooper, John Denver, Paul Simon, Liza Minelli, Diana Ross, Shirley Bassey, Gladys Knight.
I'd rather the proper Seasons 4 & 5 boxsets, of course, but I guess this will have to do for the time being.