I have seen that too, with the exclamation mark over its head, and am confused about it myself. I just got the Tama-Go three days ago. If I praise him when he does this, he shakes his head in disappointment, and once when I gave him a time out, he got angry. Then, at another time when I gave him a time out for doing this, he cried instead of getting angry, and I'm pretty certain his training bar went up a couple notches, but I didn't check what they were beforehand to know for sure.
Since he has grown into an adult, he just comes up to the screen and waves, also when I press the "A" button, when I see the "!" over his head. At this point, I am inclined to go with the notion that he just wants to say "hi" and remind me he is there.
(At 6:30 pm, when the "!" is over his head, he goes to take a bath when I press "A.")