>>535920126
Environmental storytelling is definitely one aspect of it. Worse yet in Sonic's case is that there are clear and obvious hints earlier in the franchise's history that the environment did describe at least some aspects of the lore and background going-ons of Sonic's world. Shadow being based off a mural of the Echidnas somehow knowing Super Sonic would come along.
The Ark Canon's altar being clearly inspired, if not directly lifted from the ME's altar. The fact that aliens were intertwined with Sonic's world's history since arguably Sonic 3. It's not like these things weren't there before, given they weren't outright directly stated and explained but these if you were willing to actually examine the stages you were otherwise blasting through, at least up until 06, there seemed to have been things hinted at in previous entries that were later extrapolated upon.
>>535920815
Because it's...cool(?) I guess. It's cool that some random NPC that you barely interact with in a single entry may have been the catalyst for so much more, or they could have arguably not been and it's left up to deliberate interpretation because there's just enough holes in the background lore to leave room for headcanon. It's cool that some random cat in some random shack that you meet and almost barely engage with in DS2 may have been the direct consequence of so many things in both of the other entries and there's no way anyone could actually prove otherwise because there's just enough gaps in all the lore that actually proving for or against it is nigh impossible.
Even just meeting her, you can tell that her character should at least know a lot of things based off of an earlier concept in the previous entry. The fact that the whole trilogy itself teases things constantly but never gives a solid answer leaves so much room for earnest discussion that may never go anywhere since it may never be confirmed or denied or even written anywhere but it's the fact that the mystery is there.