I haven't logged in for a while. So I installed SK today and bought the sonic game for the costume. After logging in, I though my costume was missing but realised that they were in my steam inventory. For some odd reason, they did not seem to appear in game. I talked to boost(NPC) and his inventory was blank. Then earlier, I saw a guy wearing the costume(because he was invisible). and inspected him.
http://imageshack.us/photo/my-images/842/screenshot20120121atpm1.png/
Seems like you're missing some game files. Reinstall the game, it'll probably fix this.