It doesn't, because it's broken https://www.cavestory.org/forums/threads/cs-costume-changing-cheat.14222/Cave Story+ has cheat codes that the player can input on the Title Screen to play as the different costumes (be it holiday ones or difficulty ones). This guide contains the codes for Wiiware version but they've been confirmed to work on Switch port, so they should also work on Steam version: https://gamefaqs.gamespot.com/wii/954432-cave-story/cheats