I remember encountering this issue a long time ago, so it's definitely not something new. Specifically, I remember wearing the Aldecaldo jacket and it disappearing when I attempted a new playthrough of the ending.
I was initially worried about losing my Aldecaldo's jacket, so I reloaded from a previous save and put the jacket in storage. After finishing the new ending and returning to the new autosave, I checked my storage and found that the jacket was still there. So unless something has changed, I wouldn't worry about losing the jacket after you complete the ending.
My guess is that it removes the jacket during the ending sequences to not conflict with the events of each ending. It would probably be weird to see your character already wearing the Aldecaldo's jacket and then go through the whole jacket ceremony again in the Star path, and in the Sun and Devil paths, you technically never become an official Aldecaldo.
That's just a guess of course, as I haven't actually looked at the game data to see why the jacket is removed. I imagine that your actual inventory is saved from before you went down the elevator. In any case, my original jacket never disappeared so you should be good. However, if you do complete a new ending, definitely reply in the thread to confirm whether or not the jacket is in your inventory or storage.