Super Scooter: I thought Hal Linden was the last episode for years, too, because of Chris Finch's books. In actuality, the Hal Linden episode is neither the last aired (Melissa Manchester, according to some sites), nor the last filmed (Gene Kelly), nor the last in production number (Roger Moore). I don't know where Finch came up with his order from. Since the show was syndicated, the shows aired in a different order depending on where you lived. D.W. once said that the Hal Linden episode *was* the last one to air in the area where he grew up. It definitely would have made a nice finale, but the Gene Kelly ep (where the plot revolves around Beau thinking that "the end is near") is pretty cool too.
Wiggy: The episode was done immediately after the filming of TMS. It aired on ABC in May 1981 while some episodes of TMS were still airing for the first time in syndication. It was a promotion for The Great Muppet Caper; clips from Caper are shown throughout. So you're right about the Piggy puppet. (Actually, they may have filmed the final episode, then TMS, then Muppets Go to the Movies. My point was, the special wasn't during the series, or several years later, but immediately after.) Since that was their final production with the Muppets for a while, I think it's cool that they ended it with Kermit and co. locking up the theater, etc.
Foz: The theater in VMC looked very similar from the outside, but not exactly the same -- just like the interior.