If the show keeps true to form, the song will be just one of those blind alleys that never amounted to anything ho ho, see what i did there?, like Shouma's myterious friend, or Mario as a character. But hey, if i don't bet risky, i'll never get to brag about calling stuff (and that's enough of a return for me, since i'm pathetic like that).
Speaking of Mario, this episode sure did an uncharacteristically swift job of explaining the other penguin-hat. So that's also Momoka. Maybe if the two hats are brought together, then Momoka will be able to manifest herself in some form, much like how Sanetoshi can haunt the world with the Black Bunnies around? I wonder if the remaining Natsumes will board the train too, despite what Masako said in an earlier episode, so that the hats can be reunited.