The matter of when and where clothing sponsorships are required to be enfored are spelt out in each individual contract.
Clubs contracts override any individual contracts, where a players is involved in an official club event they are required to wear the clothing supplied by their club. (The general exception to this is boot sponsorship).
It is outside these events individual sponsorships generally come into effect. Players will be given clothing and financial incentives to wear a brand when being interviewed on a personal basis, appear in photo shoots, in public places.
Any 'trouble' would be determined on what was written in the contract, perhaps brand A doesnt mind him being seen in other clothing as long as it isnt brand B so they insert a clause in the contract saying that.
Boot manufacturers are generally very direct in their sponsorships, and becasue boots are so individual they invest a lot of resources making boots as exact as players wish. Many top players boots are hand made just for that reason, as such their contracts would include penalties for wearing another brand.
Your example may be that Centeno is paid to appear in adidias advertising BUT not paid to wear their boots, so he can wear multiple brands.
Advertising and sponsorships are very different tools and do not require one for the other to exist.