Sigma can't shake her feeling about it. She has been observing Bladeheart for quite some time, as well as the others around him. Despite being friends in the game, she does not know them in real life but according to Dolly and the others, they know Bladeheart in real life. The only one from the group who they still have not met in real life is Mr. Teddy and herself.
One can argue that Mr. Teddy is a secretive type of guy as he has not shown himself out from the Kigurumi he is wearing until now. And since he likes to be private and no one heard him talk, they can understand if Mr. Teddy refuses to meet in real life. As for her, she is not a girl who is private about her life with her friends. Since the game doesn't allow players to disguise themselves as a woman in the game unless they really try, Sigma knows that every girl part in their ragtag group is also a real girl in real life as well.