You both have points!
On the one hand, Mike is right about the premise behind some letter/number segments being bizarre by real-world standards. Lots of Muppets carry lesson material around the way that fancy-car driver carries Grey Poupon in the ad ("But of course!") Because Sesame Street's "brought to you today by..." tag was inspired by network-TV commercials, though, that behavior makes sense in a way.
On the other hand, Soul H is right about Cookie Monster's "fly at the picnic" sketch: until he produces the Z at the very end, most kids would think that sketch was going to teach about nutrition, not letters. A fly rejecting cookies in favor of healthier food sounds reasonable for Sesame Street--but in favor of a Z?!? That might have been believable if the fly had been buzzing loudly throughout the sketch, and if Cookie had remarked about the noise reminding him of the letter. The version that actually aired, unfortunately, seems bizarre even by the show's usual standards.