I can still remember going nuts over the assumed Strider SGX pics in EGM back when I was a kid. I'd give nearly anything to have/find that particular issue.
There's another issue of EGM where someone asks for some updated info on it, and EGM's response was "We've played it, and it's awesome!" or something along those lines.
I'll go ahead and spread an internet rumour that I read many years ago and it stuck with me. Supposedly, SGX Strider was being made by a programmer who had a nervous breakdown while trying to get the absolute most optimization out of the system. Apparently he was found crying with a teddy bear. Capcom tried to figure out how to salvage his project but couldn't make heads or tails of what he was working on and ended up scrapping it for the ACD release. With that said, there's a tribute to said programmer in Street Fighter Alpha 2. In Ken's stage, there are a lot of cameo appearances of various characters from different Capcom games. Strider can be seen holding a teddy bear.
Yeah, I don't know what the Actual reason for Strider Hiryu holding a stuffed animal in SFA2 but I'm pretty sure that a tribute to a programmer for a nonexistant game isn't it. I still think it's a neat story/bit of SGX fanfiction or whatever, so, there ya go.