You have a bootleg DVD version that you purchased from eBay 2 years ago, that's why there's no bonus content on it. Shout's Sonic the Hedgehog DVD set didn't see release until 2007, and any DVD set available on ebay before then was stuff thrown together by bootleggers with episodes recorded from TV, hence the lack of any extras.
If you want to see the bonus content of the official release, you should buy it. The bonus material is part of the official release and so copyrighted as well. No one should be posting it online any moreso than the episodes themselves. That is, unless Shout! posts it themselves. But bonus features are a main selling point of a DVD set.
Artie~
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