The goal of GPE licensing is to provide the GPE system itself in an as free as possible manner. This means that all GPE specific libraries that are needed to create GPE applications are provided under the LGPL. This enables open- and closed-source application development at the same time; though open- source development are of course preferred. All application that are part of GPE are licensed under the GPL. This is a requirement for becoming part of the GPE system.
If you start a new application it is a good idea to follow the GPE licensing scheme, but actually - if you don't want to make it become a part of GPE itself - noone will force you to use a particular license.