The point was about the Blue Man Group - in the previous season, Penn had said that the integrity of the artistry would be compromised because the Blue Men were "not of this world" (or some such crap) and therefore could perform, but could not donate money.
So this season,he proved that it was a lot of B.S. since a Blue man donated money.
Actually, what Penn said about the Blue Man Group on his podcast was slightly different. The gist was that money isn't part of the Blue Man Group's "world," in character. Not that they couldn't donate money, but that, to them, U.S. currency is just colored paper that they might use as a prop or object. Thus the presentation of the money as folded up triangles in jello earlier.
He also made an interesting behind-the-scenes revelation about the Blue Man Group - they basically have a hidden "director" who communicates with them from the crowd in public events like this. To do their kind of synchronized movement, it's necessary to have someone like that, apparently. Anyway, you can apparently see this guy in the "celebrity art" episode and see a little bit about how they work.
All that being said, yeah, if it was just a Blue Man with a check, that would seem to be inconsistent with earlier explanations. Maybe it was part of a bit we didn't see, or they just said "Eh, we don't have a bit for this, so here's a check?"