To unlock the costume sets, you have to complete a game on normal, and you should be able to access them at the start of a new game on both difficulties.
You dont have to unlock them. They come with the character
Wanted Dead or Alive - 1958 Dead Reckoning 3-25 was released on: USA: 22 March 1961
Dead or Alive 3 - 2001 VG is rated/received certificates of: Australia:M USA:T
You must collect all of Sonic's character cards to unlock all 3 of his costumes one being Ice.
Dead or Alive - 2013 Hippo Rampage 1-3 was released on: USA: October 2013
Only, Xiaoyu, Law, Eddy, Jin, Gun Jack and Anna have third costumes.
Wanted Dead or Alive - 1958 The Cure 3-2 was released on: USA: 28 September 1960
Wanted Dead or Alive - 1958 The Looters 3-4 was released on: USA: 12 October 1960
Wanted Dead or Alive - 1958 Detour 3-22 was released on: USA: 1 March 1961
Wanted Dead or Alive - 1958 The Bounty 1-3 was released on: USA: 20 September 1958
Crossing Jordan - 2001 Dead or Alive 3-5 is rated/received certificates of: Netherlands:12
you have to rank up to level 50 online 3 times to unlock the zebra