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Yeah, Jim Henson wanted the Muppets to appeal to adults as much as kids. (They used to advertise for coffee, and such.) In fact, he was actually scared Sesame Street would give his Muppets a "just for kids" stigma, so he rarely let his usual Muppet characters appear on it regularly, besides Kermit.
He also wanted to name one of his Muppet TV specials "Sex & Violence," (a joke on that trend of TV at the time) though censors got upset over that.
Ironically, though he didn't want much exposure for his involvement in the original 1990 TMNT movie, (the final project he worked on) and apparently disliked it, because he thought it was too violent.
(Frankly, I thought that TMNT movie was more tongue-in-cheek and "kid friendly" then Labyrinth, and the Dark Crystal were.)