Grover on Sesame Street doesn't actually say the F word at all even though it does sound like it.
If you listen more closely and play it back a few times you'll realize that Grover is not saying the F word at all but instead is saying something similar.
I can't quite make it out but I believe he's saying that's a Freakin excellent idea and not saying the F bomb part of it saying that it's a F in excellent idea.
He's certainly not saying the really bad word although he may be saying Freakin which is a much better word.
He's really not cursing but even if her were cussing and saying the F word kids know all about it anyway and will grow up and be adults later as well.
Kids will not be kids forever and they will learn all about that as well.