Should you include your main supervisor as a co-author? I'm currently close to finishing my first paper in a PhD degree (applied maths). I have a supervisory team of 4 academics, 1 of which is the designated main supervisor.

My problem is that in reality, all of my work for this paper has been in collaboration with only one of the supervisors (not the main) who works in a different department. As well as this, they also gave the advice for the direction of the PhD and is also the only person I have meetings with. It seems to be a culture within my environment that all the supervisors are included as co-authors. I'm not comfortable with the idea of other people getting credit for something I have worked hard on or the ethics of it; but at the same time of course I don't want to ostracise myself from the group or harm my future prospects. They did after all get the funding for my position and I have no problem with working with just one supervisor.

Unfortunately I didn't have any conversations about co-authorship before I started the program. Any advise?
ASK THEM.
Academia is a very 'political' and 'incestuous' environment.  If it is common to do that, then in order for you to succeed there, you might should do what they do.
  si fueris Rōmae, Rōmānō vīvitō mōre; si fueris alibī, vīvitō sicut ibi ‎(“if you should be in Rome, live in the Roman manner; if you should be elsewhere, live as they do there”); which is attributed to St Ambrose.

If you don't, and they expect it, then you might just piss them off.  They may never mention it, but they might take it out on you in ways you could never prove. Retaliation likely won't be something you even see - not getting that scholarship, journal, presentation, etc.

TL;DR - Ask them what to do, then do it.