(I am mighty tickled by the speech patterns and expressions on display here, and wish to know in what language or part of the world I may observe young women speaking in this manner, so that I may reserve flight tickets on the morrow)
however, I personally always read it in a more dark interpretation that not only had the blue bird not experienced winter before, but that they were not meant to know what winter is because they were meant die with the coming of winter, and I interpret the bird's look in the last panel as one of betrayal and sadness for what winter means for them (i.e. death)
most people I think just interpret the blue bird as being out of the loop and they find it humorous because it responds to everything with "What?"
I don't know birds, but I always assumed it was a species of bird that doesn't migrate for the winter, so hearing another bird talk about leaving for winter is blowing its tiny mind.
Either that, or it's just the first winter it's experiencing, since it's confused about the color change of the leaves.