The Joe site is supposed to be like that - it's a spoof website just made up for his character - as if to say 'hey, i've even got my own website'. It's supposed to be funny.
Pepe's lounge is cool but it isn't an official Pepe site in the same terms as Henson.com - it's just something a licensee's web designers made. It'd be good if Henson made some character sites or even the much talked about site for Muppet fans where they could do a lot of promotional stuff with the charcaters. I think there was serious talk about that.