I think opting to land on a platform when you are still in chaingrab percentages is a decent idea. Rather force the techchase game than take the guaranteed chaingrab, right?
Sheik's CG only works on DI away, and to like 40% (if that). You are taking more damage by moving towards the platform, generally speaking, because you will often have to DI away and eat the chain grab to even get there in a timely manner, and then you can be comboed once you actually get on the platform. If you'd simply DI'd behind her from the start, she does the same guaranteed 30-40% she always gets for a grab.
By landing on the platform you're allowing her to start up air juggles in a much better position than normal (again, I doubt you've encountered this because most Sheiks are ****ing garbage tier trash at combos), use better moves for comboing (dair, in a lot of cases), open up for garbage KO moves in a lot of cases (up smash on FoD), and there's just generally more vulnerability because Marth has a distinct lack of good moves when he's on the platform.
I've done stupid nonsense like d-throw > dair > dair > uair KO off the top platforms over a hundred times on various people (good people, too) because they thought the platforms were safe and that I'd miss if they just kept forcing me to follow them on them. But a decent Sheik (if you ever face one of the 7 or 8 of us that actually exist) will **** you up for that nonsense because you're basically turning Marth into a tech-chasable character, and sticking him on a tiny strip of land against a character with 10+ launch moves in her moveset (and half of them stay out for half a second or longer).
That said, Pokemon's not as bad as Yoshi/FoD/BF because the lack of a top platform to trap certain DIs after dairs and other launches. So landing on the platform / not landing on the platform is comparable.