Kamen Rider Build is based on plastic models, and just like plastic models, you need to assemble them for you to get the full figure. When Build first transforms, he only has a dark grey suit, and attaching parts to said suit will give him his different forms. As for his antennae, it is said to be based of a screwdriver and a utility knife, which explains its shape.
For previous Kamen Rider Build rumors, you can check this post.
[Source: Dukemon of Rangerboard]