There is an actual Sonic canon, it just different depending on the media.
Even as back in the Genesis days we got Sonic 3&Knuckles being a direct sequel to Sonic 2, or the events of the Genesis games being often called back upon in the first Adventure. SEGASonic canon still made sense until Sonic 06 (which at least was retconed,) but it began to truly become a problem with Generations and especially Forces. I think it's a shame because Sonic had some very interesting lore up to that point, and I would've loved it if they tried taking the Kirby approach with the game lore.
I'd argue SEGA WANTS each piece of media to be different, considering they're giving all these other studios and rights-holders creative liberties. That's because Sonic is much more story-driven than Mario, and they wouldn't want to make it a mess where you'd have to watch all the movies and read all the comics to understand anything. It's the same thing with many story-driven franchises (Like say, Marvel). I still would've liked it if they added some "non-canon" elements into the games (Metarex when?) even if it's something like a simple refference (Like Kirby with it's anime)