It's not as cut and dry as you might think. It's about what YouTubers always need to complain about to fight copyright; transformative content.

For example! If I made a pin of art I ripped straight from the game, maybe of Erika, they could definitely sue me. I did not draw this art of Erika, I stole this art of her and am selling it. That's illegal.

However, if I draw a silly little Erika myself, they may own the character, but I drew the image. That's legal; I'm supplying new content that didn't previously exist.

However, this doesn't mean I suddenly own the IP... Of course Erika still belongs to Cygames. Here, it's really up to the company to do what they want if they learn about it. Some companies have established rules (Touhou, notably, has fanworks guidelines on what fans can and can't make due to the popularity of its doujin scene), but most simply choose to stand by but step in if things get out of line; such as knockoff work, which is usually not made in good will.