I still haven't managed to get this on video, but I did get a partial picture:
In a separate, but somewhat related story, earlier today, Rocky had completely covered himself in a towel and was playing, kind of like here. He was just hanging out, walking around, singing a little bit. I was eating breakfast and should have taken a video. Max flew over and landed on him. He was not happy about this, so he let out a scream and she flew away.
Thomas and I have been having a discussion about whether she knew Rocky was under the towel and wanted to irritate him, or did she just see the towel moving and her curiosity was piqued? How much object permanence does she have? According to this, she did know he was under there. So much for me giving her the benefit of the doubt!