Well it's been pretty much established(even in tv interviews with Kermit if I am recalling correctly) that Gonzo is not really an "alien", and that the whole alien thing is purely just within the MFS script. To me it completely destroys the fun of not knowing what he is, other than some vague bird like creature. Imagine an Inspector Gadget animated film where we finally saw Dr Claw?(ok, actually that might be kinda cool)
Personally, I throw the concept of him being an alien in the trash anyway, since... well, we know what REALLY happened in the script. Thank you, guy who made a Garfield movie with a wrong Jon Arbuckle. However, I'm wondering if Roger were later to see the movie and to dismiss that like the fanbase did.
Now, that was a "What if" situation. The more I reread these comics, you can tell he wanted to establish a Muppet Show.... well, I can't so much call it continuity, as the stories would have taken place specifically in a time frame where Pepe, Clifford, and the rest didn't join up with them yet, but well after the events of Muppet Babies, which that actually seems to accept. Again, the Andy and Randy issue hints that they haven't met them before, and the brothers do not work for the Muppets YET.
So, let's say they were accepting Gonzo=alien, in the time frame of the comic (again, using the time line of the original series) the discovery didn't happen yet. Mainly, since Pepe, Johnny, Clifford, Sal and the rest were present when he finds out, (again, if the comic were to accept this).
Though, that brings up the point that there's no Muppet continuity, per se... The Muppet Show doesn't quite follow the story of the Muppet Movie (though Kermit says this is "approximately how it happened"), GMC follows its own story in the context that what is happening IS a movie, and the characters are specifically playing roles... of which nothing follows MTM, which brings up the whole "Are they married" bit, MCC and MTI are also self contained films where they're playing a role... MFS subtly follows TMM (at least references to the Mayhem bus and the implication of "I'm Going to Go Back their Someday" which was cut out of the soundtrack... Dang you guy who did the Chipmunks movie), but MFS can't possibly follow Muppets Tonight, since they KNEW of VanNeuter and hired him as one of the performers. But then, Polly and Clueless are in MT, but as actors.
NOW..... VMX follows BOTH the Muppet Show and the Muppet Movie, by means of the theater and the reference to Doc Hopper being still in business if Kermit didn't stop him. It's debatable if it follows MT, since Pepe, Johnny, Sal and Bobo are there... but working at the Muppet theater... implying that they still had the theater and still did live shows while MT was going on. Just, the actual Muppet show ended, also implying they could very still have had shows going, just not televised.
Now, back to the comic... it's clearly in between the Muppet Show and Muppets Tonight, and it sort of accepts Muppet Babies, though the Statler and Waldorf gods were originally created to add ambiguity as to whether or not that was really happening (Skeeter). there aren't any references to ANY movies that I'm aware of. But then again, companies RARELY take into account whatever happens in comics anyway.
So basically what I;m saying is I'm totally confused and spent 10 minutes thinking this over...
(walks away from dry erase board full of hundreds of math equations).