In CH, can you bring up the rigging panel and share a screenshot of the rigging hierarchy? My guess is you will need to add the sleeves of the jersey to the arms of the puppet (the arms are probably independent to the body). That is, you will need to chop up the jersey photo into multiple pieces if the arms need to be independent.
You could also just try turning off the independence flag on the arms and see what happens... (then man the "undo" button if it does not work out well!!! Sometimes its safer to export the puppet, import it, then edit the imported copy, just to be safe.)