Oh man what a hearbreaker! I know Blea wanted to win pretty badly. Honestly he played great but two things that are relatively easy fixes would have won him the set.
1. Not rolling in after the waveland from ledge-- I think even the first time Blea rolled in he didn't gain an advantage, and Shroomed very quickly adapted and began punishing. Blea was also rolling in in uncertain points in the neutral game, and each time it hurt him. Wavedash out of shield or dash forward, roll away IMO.
2. Dropping away from ledge with aerials. Many times in the set including the pivotal last stock situation in game 3, Blea could have held away from ledge to use an (invincible if quick enough!) back air or other aerial to kill Shroomed. Instead he often ledge hopped back airs in spots that Sheik wouldn't be since she was aiming for ledge. Pressing away or even down sometimes to get that super quick back air surprises a lot of opponents, and watching the set, there were times where Luigi could have snuck in kills where Sheik was for sure vulnerable.
It was a really tight set, and I was still pretty impressed with the Weeg-squeegin' going on. Things that are clearly great in the matchup-- up tilts are amazing on Sheik. Grabs are also really important. Grabbing is another area where I think Blea could have improved. He had some sneaky grab setups like wavedashing backwards through Shroomed's shield to grab, but he missed some easy opportunities including some shield grabs that could have led to big punishes.
Combo extenders like drop through nairs and rising/any kind of up airs are great against Sheik, because once you do get in, you have to make your punishes count. Spot dodging and staying in place in general is bad against Sheik since she has such great option coverage close range like jab>grab, uptilt and f-tilt, and this was another area where Blea lost some ground early on. If he baited Sheik a tad more, surprised with ledge-dropped aerials, and wasn't rolling in as much, this set would have been his easy-peasy-Luigi. Good stuff tho. Thanks OP for posting the video, I've been waiting for it.