In the prologue scene of Madagascar: Escape 2 Africa, it can see the two World Trade Center towers in the background. It is quite likely that the prologue and first film came just before the 09-11-01.
And in the Madagascar 3: Europe Most's Wanted, in the scene of Alex, Marty, Melman, Gloria, King Julien, Maurice and Mort finally tripping back, it can be see the Second World Trade Center. It is quite likely that the film take place in moments after the building's inauguration, 2014.
In Santa's Surprise, Butterscotch and Soda, Tarts and Flowers, Hold the Lion Please and Little Audrey Riding Hood, Little Audrey usually lived in her apartment building in Manhattan.