Yes, my rescue cats freak out at those scenes. The dog however loves it.
;)
I had a Siamese cat as a kid, I remember him watching TV with us. However, I read somewhere that cats and dogs see the TV different from us because of some weird eye/brain frame rate thing. They just see annoying flashing lights. In case your little penguins are closer to humans in that respect, please yes, cover their eyes for those scenes.

My dog watches TV with us. He definitely sees recognizable images because he goes crazy anytime a dog comes on the screen, but not other animals.

I agree with Richards point about including a warning, in the movie, for content that may not be universally enjoyed.  Maybe they could use a chyron to show the warning and the timestamp to resume after the content in question.  The cost for that would be minimal.  If they really wanted to get fancy, they could let you select your rating at playtime and automatically skip all material with content that falls outside of your preferred rating.  To be sure, a movie like Pulp Fiction would be pretty short with a G rating but many movies only achieve their rating from a couple of scenes.

Personally, I don't look up reviews or watch trailers for movies as they are increasingly filled with spoilers.  There have been a few movies recently that played all of the best bits in the trailers and, for me, ruined the movie.  To be fair, most of them were mediocre to begin with, but they gave up the best scenes in the trailers and spoiled the plot.

Michael I had a dog that too barked at dogs (Lassie if I recall, but for a dog, I guess that's like a teenager seeing Loni Anderson in WKRP during the 70s) on the TV. And we wonder why some people don't trust "science". Real life often says something different than the lab coat guys.