I have not posted here in a while, but I figured I would chime in on this.
The secret characters refuse to unlock in MKAK for me as well. I even verified I was using the correct code by going back and unlocking Classic Sub-Zero in the original UMK3 they put on XBLA.
The code I used and the symbols that appeared on screen after inputting were
exactly the same on both. But as I said only unlocked in the UMK3 not part of MKAK.
Perhaps it is a selective bug like some of the others in MKAK? I know some folks have had to finish the ladders multiple times for the achievement to pop. Took me one on MK1, two on MKII, and I expect (and kind of hope) it takes three for UMK3.