I think this is a case where one website got the punctuation wrong, then it was repeated on other websites. The song this episode refers to is titled "Baby, It's Cold Outside", so it would be unusual for the writers to change it to "Bobby: It's Cold Outside".
It's a subtle, but distinct difference. The first with a comma is a sentence where one part flows into the next. You're telling someone it is cold outside.
The second is more in line with how movie titles for sequels and prequels are handled: "Barbershop: The Next Cut", "X-Men: Apocalypse", "Insidious: Chapter 3", etc. It's also used for when you're listing examples, just like I did in the previous sentence.
Let's wait a while to find out what it will be. Don't rename it until we know, and then let me rename it. I can make sure the group of pages for this episode are renamed properly and preserves the edit history.
I think we need to leave it with the comma. It really feels like a typo to have it as "Bobby: It's Cold Outside", even though that's the way it is on the Fox website, which should be official.
Sideshow Bob and a woman sing the song at the end. If the writers said, "We've got this episode that is based off the song and the song is significant to the story, but we're going to alter the punctuation in the title so it no longer matches the song", that would be even more unusual.
The episode page on the Rotten Tomatoes website also has the comma in it, so we have to have our page include the comma so it can link to us correctly.