So, wait...the penguin pees?
Yup, although I haven't seen it happen often.
I've seen this happen just once, and I nearly hurt myself laughing. Not because pee is particularly hilarious but because of the penguin's awareness of what he'd just done...
My sim pet the penguin, who'd previously been having a spirited debate with the snowman on the continued instability of the US stock markets, and this display of affection either pleased or displeased the penguin so much that he immediately peed himself and the sim in question. The penguin then froze and, clearly chagrined by his faux pas, he slowly and carefully backed away from the sim until he was off the lot.