In an Electrotlytic cell using MgSO4 electrolyte, Cu(OH)2 and Mg(OH)2 are visible products, Where Does SO4 go?
It forms $CuSO_4$, which is soluble in water. $Cu(OH)_2, CuOH$ and $Mg(OH)_2$ prefer to precipitate, while $CuSO_4$ just floating there, completely invisible. Actually, even when ppl try to obtain $CuSO_4$ in such electrolytic cells, they simply collect $Cu(OH)_2$, add $H_2SO_4$ and crystallize sulfate. So it is there, but there is no way you can obtain it directly. 

[remark] You can also try to crystallize it from solution, since it's there. But maybe you won't succeed.