It's rude and an insult, Sylvie, made softer by being such a stupid thing to say. It came out in 2003 when Bush invaded Iraq and all the war-mongers were irate that France didn't join the coalition. There were many stupid things that were said and almost anything from the Simpson's is likely to be in that category. Another silly thing from that same era which you might have heard was a push by the Conservative Republicans (the rightwing party in the USA) to change the name of French fries (pomme frites) to Freedom Fries.
Calling anyone a monkey is rude. Saying they would surrender without a fight is also very rude and questions their courage, but there is no sexual connotation or anything like that. The cheese-eating part... well, that's just another funny-sounding adjective to describe the French. Silly too, because Americans eat plenty of cheese.
Most Americans admire France and the French people but this horrible quagmire we were dragged into has created animosity for very bad reasons. Forgive us, please.