I think we all suspected they were just sets, and the enormous collection came largely from fan donations and whatever leftovers Mike had when he was buying literal trash bags worth of games at Funcoland when NES games were selling for pennies on the dollar 20 years ago. And of course, they were built in his house because he came off as so down to earth, not a millionaire that could easily afford a RLM-style studio. Which, uh, I guess he does have now, by way of Screenwave.
Also, I think I read that they got rid of the video store set. No clue where I read that, though.
All of the awful sketches throughout the entire show make sense now, though. Like that Super Ultra Mecha Death Christ thing. No wonder he was so gung-ho on those, he's fuckin' autistic