He's only got pieces of the suit on in this scene of the movie because he's testing out his new design. He implants sensors into himself and the pieces of the armor attach themselves to him from afar as a result. They basically follow where his mind wants them to go.
Trust me, once you see the movie, this entire figure will make sense. It's actually an awesome scene, and while I was on the fence about spending the money with so much on PO already, as soon as I got home I PO'd this from Superpowercollectibles before it sold out.
As a few have mentioned before me, this is the figure to get from Iron Man 3, with the Mk. XLII a close second. Well, that's my non-existent wallet talking. They're both on equal ground for ones to buy from this flick.
As for your question about why not make an entirely removable suit, well this is definitely not just a Tony Stark figure...they've basically recreated the scene in a Hot Toy and it's awesome.