Club Penguin had a bug earlier where you could not enter the Stage for the grand finale performance by the Muppets however this has now been fixed and you can enter the room! The Muppets perform every 15 minutes.
When you first go into the room you will be offered the Muppets World Tour Background. Be sure to collect it!
Here is the theatre:
Here it is when the Muppets are performing:
Enjoy the party while it lasts, as it will be over soon!