The monsters are planning on taking over the planet, but they need to figure out how to do it, etc. The "Continuity Monster" is the keystone that holds together all the different bits. He's the Monster King/Overlord/Head Bureaucrat and he's in charge of all the "Scout Monsters." The Scouts are out in the world trying to learn as much as possible to make their invasion more successful, but like DannyRWW suggests, they really are no threat. Well, maybe a threat to themselves
This opens the door to "Hoobs" or "Uncle Traveling Matt" type segments out in the "field" and .... MST3K or "
The Hilarious House of Frightenstein" type segements for the Continuity Monster. (Thanks again, BuckBeaver!)
The Continuity Monster segments can concern his own ongoing problem (ala the Doc and Sprocket segments, the Mad scientists on MST3K, etc.) and he doesn't really have to refer that specifically to the incoming message. Sort of like this:
C MONSTER: Ah ... another report in. Very interesting. I hope this monster didn't bungle things up too badly. Let's see ...
[insert clip]
C MONSTER: Very good! Ahhhh ... I can taste the sweet flavor of victory! BWA HA HA HA HA! Oh wait ... no, I just have grape jelly on my chin.
... or whatever.
This is really starting to take shape!
-- Scraps