Well, at least Cookie Monster said thank you. He'll con you out of your cookies, but at least he'll be polite about it!
I don't remember whether I ever actually responded to these sorts of audience-participation prompts on TV when I was a kid, but given the fact that, for a while when I was little, I believed that the characters on TV actually lived inside it, it doesn't seem all that unlikely. Watching this piece now (which I don't remember from when I was a kid), it's really hard to resist responding, if only by clearing my throat or something like that.
I imagine that it's got to be a pretty uncomfortable thing to perform, though. I mean, if one's audience is live, one can hear their response and react accordingly, but for something that was pre-taped like this, I imagine that it would be difficult to get the timing right, especially since the human brain is programmed in such a way that it wants to fill in those types of silences with speech and/or noise. Jim Henson's performance here seems really natural and effortless, but I imagine that it had to be more difficult than it might seem.