It's come up in the sonic Twitter takeovers. whoever the current VAs are voice answers for questions submitted on Twitter.
They do not mention any names specifically but in the Twitter takeover to promote Sonic Forces, Shadow just openly admits that "likes the one with the edgy girl and the scissor blades" and also confidently states that "anime is a highly respected art form it was not a mistake" when Eggman calls him a weeb.
The takeover to promote Frontiers further clarified that Knuckles likes One Punch Man(but there's no Wifi on Angel Island so he has to go to Cream and Vanila's house to watch it), Amy likes Fruits Baskets, and Eggman has gotten really into Chainsaw Man and is planning to send a Chainsaw Man inspired Badnick after sonic.