It wouldn't be able to work online anyway. How could it?
First of all, we need to find out if SSE Co-op is something you can start and stop, or if you have to play through the entire game co-op once you start it that way. The way I see it working is, Player 1 will always be playing, and say his friend comes over while P1 is in the middle of SSE. When you're picking who you want to use for the next stage, you can decide if you want the 2nd character to be CPU or human. Then on the next stage you can flip it back to CPU if P2 is leaving.
Now, here's why it won't work for online. Player 1 starts up the SSE for the first time. He's going through, beats a few stages, unlocks a character, everything is going great! All the data up to that point is saved to his Wii. Then he wants to go online and play co-op with a friend who also hasn't played SSE yet. So they connect and start playing, and of course, it picks up where Player 1 left off. But what about Player 2? They don't get all the unlockables and stuff from prior to this point? What about the next character they unlock? Wouldn't it only save to Player 1's Wii, since its his file? Player 2 would miss everything.