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Originally Posted by Sh Ranger

The "sacred animal" part is the most annoying since it's basically just Zero One. Since when were hedgehogs sacred anyway? This is the third hedgehog in Rider in 4 years with Zi-O being the only exception!

Apparently they're considered sacred in China (specifically the Northeastern region). Where its one of the Five Great Immortals in northern chinese folklore:
狐仙/胡仙 Húxiān — Fox Immortal
黃仙 Huángxiān — Yellow Immortal, the Weasel God
蛇仙 Shéxiān — Snake Immortal
白仙 Báixiān — White Immortal, the Hedgehog God
黑仙 Hēixiān — Black Immortal, who may be the 烏鴉仙 Wūyāxiān — Crow Immortal

It could also be related to the Chagrin, which is a type of demon in SMT:

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Chagrin, also known as Cagrino, is a small yellow hedgehog of Gypsy lore. Horses were said to be the main victims of the Chagrin, but their favorite are the mares that had recently given birth. They would [REDACTED] on their victims, causing them emotional and physical distress, which would also result in boils and sores. Gypsies would use spells and incantations to ward off Chagrins.

Or it could be something else entirely, but those are the best explanations I can find right now.