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I saw this picture of a Menger sponge:
It looks like several of the scenes (memory, I don't have photos) from The Lego Movie either in Vitruvius room or in the connections between the worlds.
Here is one clip from one video that shows a little of the "between worlds":
Did the creators of The Lego Movie include Menger sponge style fractals in their artwork?
In a word, no. I've been through both Lego movies (as well as the Lego Batman movies and Lego Ninjago movie in case you're mis-remembering) and there are no scenes with these particular fractals.
That being said, it might interest you to learn that Matt Ebb of Animal Logic is a specialist in using fractal geometry for animated set design and designed the "point-logic" for the tools used to render the sets into Lego, so it's likely that there are fractals on screen in the film, albeit used in a less overt fashion, to make repeating objects like clouds and scenery.
