Presumably because "costumes" are a single all-in-one equipable item with two layered pieces--the body piece which overrides your entire outfit, and head piece that overrides your whatever headpiece your outfit has on.

Then you have hat cosmetic items, which can override all other headpieces, including the the ones on costumes, hence why there is a "hide helmet" option listed alongside your hat cosmetics.

It's likely they'd have to re-do all the costumes that already exist and add a third shoulder layer just to add the option to "hide shoulder" in the costume cosmetic section, at which point you have to ask yourself it it's at all worth it when many of those costumes can be recreated through the outfit station sans shoulders.