I'm able to select a custom career outfit for my PI and switch him to it at any time but whenever he autochanges into his career suit after being sent out on an opportunity, it's the trenchcoat. I can switch him to the custom outfit during the opportunity and it will stick for the time being, but come the next opportunity, back to the trenchcoat. I suppose it could be that he's advancing so quickly that I'm not noticing and each advancement might be resetting him, I wasn't watching that closely. But still, it's been *every* time he heads out to an opportunity, no matter what career suit he was wearing last. With the Superstar careers, the last career outfit they had on is the one they autochange into when doing a job.
OH WAIT - That's the difference! PI is launched off on opportunities as a professional, while the superstar Sims are doing specific tasks like singing for tips and giving performances. I think Pam must be right - Even though you are allowed to create them for Ambitions careers, perhaps you can't make them use the one you specify automatically. Which is a pain because you don't want to stop your Sim mid-task just to change clothes. Especially when you are driving them hard to climb the ladder and that happens constantly.