If you have Raiden then you won't have Odin, and vice versa, thus leaving a blank space in the menu. Once you have obtained Odin from the Ancient Castle you need to walk five steps down from the right-hand throne and press X. This will cause a staircase to appear in the right-hand room. Go down it to find the Blue Dragon and a statue of the Queen. Examining the Queen will cause the Odin magicite to transform into the Raiden magicite.
