The more I think about it, the more I think "we" is the right wording. The problem is that the object of the sentence is "Penn" and without knowing that he said, "they" you're expecting him to use a first person singular, not a first person plural. I think the reason it feels awkward is that when it undergoes the transformation from singular to plural it does become slightly more ambiguous, because "we" refers to a group of people, but only one that includes Penn, which means it's either Penn & Teller or the entire production staff of the show. When you go to "they", it could be any group of people, and because it doesn't say "he", you sort of need to think about what other possible groups Penn could be referring to. Obviously it only takes a few milliseconds to figure out what it means, but if you're reading along at full speed it can break the flow to have that happen.

Regarding the colon wording (Penn said: "the aim of the show is to .."), I understand what  is going for there, but I don't like the way it sounds in that paragraph. When you do it that way, it seems like a non-sequitur. When you have it the other way, it's clear that we, the editors of the encyclopedia, are trying to convey to the readers what the aim of the show is, and we're using Penn's words. When you just say that Penn said something, and the thing that he said is about the aim of the show, the role of that sentence in the paragraph becomes a bit more ambiguous, because it could be that we are trying to convey that this is how Penn thinks about the show, or that we're trying to convey something about Penn himself. I think the way it's written now and where the quote starts removes nearly all that ambiguity. But of course, I could be reading into things way too much. I think it feels natural with the "we" being included in the quote, but maybe  has a better compromise wording that addresses my concerns about non-sequitur.  [talk/contrib]