Board Thread:Vs Thread/@comment-34890725-20190515235148/@comment-29830913-20190516231844

"...See, the creature that is Sonic.exe was created in the void, in a gab between dimensions, making him a non-existent outsider in our universe. This creature was born out of pure dark matter in this void, and at the time he had no real namesake nor did he have an actual describable body, it was only until he learned about OUR world that he actually started getting a body."

TL;DR, his physical body is simply for the sake of having an appearance, he doesn't need it and could just make himself another. Even if you say he never showed he could make himself another body, the fact that he can create vessels for his slaves shows that he clearly can.