Py is the youngest, and as she didn't show up until fairly late in the show's run, probably also the least known of the Muppet cast. She was born from a blue egg that was left on the train, and got her name when guest star Per Inge Torkelsen, having tried in vain to get her to come out of her egg, finally gave up, using the word "Py" as an expression of dismissal. Py liked the word and adopted it as her name.
Py is very young and just starting to explore and learn about the world -- including the difference between good and bad behavior. She often misbehaves because she doesn't know any better, leaving to the older characters to explain why this was wrong.
Max Mekker in particular has taken up the role as "big brother," trying to keep her out of trouble when he can.