It's actually not a bad thing for animals to have stronger intense emotions, especially positive emotions of love (even if it's 'love' or amorous desires a little 'misguided' because the penguin doesn't have the intellectual capacity to understand how the concept of a cardboard cutout or even anime character is, as opposed to a real girl, whether penguin or human), gives them opportunities to further develop their emotional aspects, in their soul evolution from animal kingdom to eventually incarnating as human level (whether it is of homo sapiens humans on Earth, or some other species on some other planet, is another matter).
Furthermore, after its death, it's guides (which are specialized for that particular animal species) will continue use that chiobu anime form as a pedagogical tool (since it has formed an emotional attachment with it) to help its consciential orientation into the 'spirit world' or 'afterlife', and also see it's strong emotions as positive impetus for further evolutionary growth. So it's not all sorrow for the penguin (who died of old age not of a broken heart), and in fact quite the contrary. In it's consciousness in the afterlife it gets to be 'reunited' with it's 'lover' in the afterlife for some positive nurturing 'huddling & cuddling'.