It seems you get the basics of animation, but this isn't quite why it isn't done. It's definitely possible to add bones to individual costumes, but doing so can have unintentional effects.
Did you know that there's a bone for when characters pick up items? Items are assigned to the bone so they're held where the bone is assigned, usually the right hand. The thing is, this bone isn't assigned by name, but by its number in the skeleton hierarchy, so if you added a bone before that point in the hierarchy - say, to add a cape - then the item bone no longer has the same ID it once did, and it gets assigned to the wrong one. If you were to add a cape, the character might hold homerun bats on their forehead. Consequently, this messes up their hitboxes. You could add it to the end of the hierarchy, but then it wouldn't move properly with the rest of the body.
I don't know if it's possible to reassign the bone, but this is one way I know of that could mess with things. There might be others. There are also ways around this, but they take much more effort than the average costume import. If you want an example of a costume that added bones and got around this issue with some work-arounds, check out this Infinite Smash Team blog post.
http://infinitesmashteam.com/2014/07/08/space-pirates-beware-green-lanterns-might/
Needless to say, this takes a lot of time and effort, and PMBR have much better things to do than sacrifice their time to add capes for specific costumes when there are other costumes that could work just as easily with less effort.