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this didn't happen to me so I dont know for sure, but I've heard it's a glitch that sometimes occurs with Kahn and/or Darkside and the only known solution is to delete the save and start over and hope you dont get the glitch again.
This happened to my brother's save file. I can guarantee you that it's not a mixup of arcade mode and story mode. When he loads the DC universe it says "You have unlocked Darkseid", the credits roll, and then Darkseid is still not unlocked.