DISCLAIMER: I DO NOT CLAIM ANY OF THE FOLLOWING TO BE OFFICIAL CANON. ALL REFERENCES TO THINGS BEING “CANON” OR NOT ARE MADE WITHIN THE CONTEXT OF MY VERY OWN FANON.
Think about it like Adventure, with all stories taking place simultaneously:
Not all four characters canonically do all seven zones: Cream starts in HC, Tails in IP and Knuckles in TB
(they chase Sonic through all the zones that come after their associated boss fight
(that's why only Sonic's story features the others within boss fights: they're already chasing Sonic)).
Cream, Tails and Knuckles don't fight the bosses or get to XX
(Eggman is already in the next zone, plus he already has enough having to build two of each boss).
Apart from that, my own personal opinion on the handheld series: I consider it a different canon from the console games so I can retcon some Special Stages out by saying Sonic had all the Chaos Emeralds since Cosmic Angel's Special Stage until he landed in the Sol Dimension, because otherwise Cream, Tails and Knuckles would've caught up to him in Advance 2, he would've had to backtrack in Advance 3 and he definetely would NOT have reached Dead Line's boss arena right after Blaze. Colors' are OK but I know nothing about Lost World 3DS and I consider Generations to be non-canon anyway.
With that, I conclude this theory. Lots of streched interpolation and non-canonization of part of the game, but I believe it's best to do this and not something that could reach '06 levels of convolutedness.