I had a few different theories during the game.
I thought for most of the game that Sonic would turn out to be the assigned "murderer" and NO ONE in the main cast actually "killed" anyone. I assumed Sonic got taken out before he could properly get the game started by "killing" someone else.
I noticed that Shadow didn't bring Amy a present right away. So he was never a suspect for me.
At first, I thought since Sonic was in the Conductor's cabin he got bored and just...started fiddling with the controls to make it go faster. Then he basically got sent to the back of the train by cartoon physics and knocked himself out.
I did notice a spilled drink next to his body, so I thought he MIGHT have been poisoned or something by that Omochao they mentioned in the Saloon poster that was on the run for medical malpractice. (Is this a reference to a fan-game?)
...Then I noticed Shadow was locking all the doors. Sonic couldn't have gotten all the way back to the dining car without being seen. I thought maybe someone painted Shadow to look like Sonic, so that Sonic body at the start would actually be Shadow, since Vector didn't actually see him go back to the front of the train. Or maybe the Sonic at the beginning of the game was actually Metal in disguise and the real Sonic arrived late or something. I did think about Sonic maybe getting onto the roof or something, but I thought that would be kind of out-of-bounds for this "game" they were playing.
By the time I got to the Conducters Room, I figured that the Train-Arm just didn't want the Conductor to retire and leave him. Or that the train somehow WAS the Conductor's wife, like her brain got downloaded into the train or something. Or that the Conducter was ALSO a robot. I don't know, the Conductor looks like a combination of IDW's Kitsunami the Fennec and Big the Cat, to me. (His wife is surprisingly cute.)
I never actually saw Espio being the "murderer" coming. I'm still not sure how he got through the secret passage while it was still so dusty without Shadow noticing. I guess it was while Shadow was in one of the other rooms.
But, yeah, this was a higher-quality game than I expected for free. The heist with Blaze and Rouge was really fun. And finally being vindicated for checking the trash cans. The writing was fun. The platforming got a little more challenging than I was expecting for a text-adventure. This was really good.
As for how "canon" it is...I don't know if Sage being around is really going to make sense, depending on Frontiers DLC or a sequel. And they make a couple references to Frontiers during the game, so it SHOULD take place AFTER that. So...*shrug* Who knows. Her little cameo at the end was cute, though.