[Grey Jinjo]

Because Sonic has almost zero personality. It's hard to bond with/follow a character who is just a bland vessel that you control. At least Shadow was angry and trying to destroy stuff. He was doing something. Sonic just aimlessly heads towards villains, gives occasional one liners, and tries to save the day while being careful to put as little emotion on his face as possible.

It's, in a very abstract way, the same reason I don't appreciate Pacman over Halo just because Pacman came first.