In the prologue scene of Madagascar: Escape 2 Africa, The World Trade Center towers are in the background. It is quite likely that the prologue and first film came just before the attacks of 9/11
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 seen that One World Trade Center is on the skyline. 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.