There's tons and tons of info on the Sheik MU already in the thread
allow me to add some.
normally when sheik has to play against the FE characters, she wins on every front except neutral, which she loses at high level play because sheik has no reliable outs to dashdance abuse. you could argue that needles help sheiks neutral vs DD but that doesnt really work past mid level play because you can simply choose not to stand 45 degrees below an aerial sheik (and you shouldnt because AC fair is super safe if she does that instead) and ground needles you can just block and her animation is laggy. if you're running at sheik and she throws needles you can respect block and take some amount of stage from her in the process, but if you block them at any other point then it's just parity.
sheik is an exception because of how dtilt works on roy. sheik doesnt really have a neutral game, sheik's core game play is essentially SH FF AC fair abuse in and out of WD back and she just tries not to run into anything until she can grab, or until the opponent gets in and then you SH FF AC nair OOS (nair and fair are both safer on fade but its not always necessary). DD beats this core because it bypasses sheiks poor aerial mobility on her safe fairs and good DD play really has no reason to commit and expose roy to unnecessary risk (esp while roy's dtilt still has a sweetspot on the tip). Therefore, it's easy to deduce that roy's best plan vs sheik is DD in and out of dtilt.
you want grabs as well to keep sheik honest because of shield abuse, but even when you grab you're essentially using fthrow/dthrow to unilaterally set up dtilt, or force her to tech roll, which you chase with dtilt. normally most characters with good throw games want to upthrow sheik and try to juggle her to abuse her poor air mobility and mediocre combo weight, but throw > ??? > dtilt is better specifically for roy because you get the same launcher effect but the IASA on dtilt is much more forgiving in terms of getting a good punishment than upthrowing and having less time to work with to set up a good combo out of your conversion. it also pays off to use DD into dtilt conversions aggressively in this MU, partially because it gets her to stop her needle harassment and partially because you can run sheik out of stage quickly by forcing her to retreat to respect your dtilt, and then she either jumps which is 100% advantageous for you or she tries to cross you up with a roll or WD which loses to a second pivot dtilt using the IASA on the first one.
good aggression is also good because you can get ASDI out of both of your conversions. either by holding down for dtilt (duh) or by holding down during the grab animation, if sheik happens to hit you with anything, you get "fake crouching" ASDI and you can dtilt her back out of it. normally this is something available to both players and is not problematic. the difference is that roy dtilt breaks ASDI at 0% while sheiks tilts are super easy to crouch well into the middle % ranges, so you will generally win this exchange as long as you're under the right % range, and the reward is just really good for roy. sheik can somewhat negate this with WD back > dsmash instead of a tilt but dsmash has much worse range, and even if it hits doesnt particularly do a lot outside of resetting the match back to neutral (a retreating sheik doing WD back dsmash to styme your aggression while respecting dtilt will basically never kill you because it means shes probably backed into a corner already and you're on the far side of the stage).
this goes without saying but a lot of people don't internalize this- when you "get" sheik, kill her. people drop punishments all the time for no reason. you have a disjointed ASDI proof launcher vs a character that's weak to good crouch use, use it properly.
for recovery, sheik has no disjoint and needles cant hit roy's sweetspot up b if you're perfect, so to edge guard you she either needs to already have a major advantage or she needs invincibility to beat roy's up b. if she has the major advantage, she already has you and if you get lucky and make it back cool but dont expect it. if she needs invincibility, her counterplay to your up b is limited because she cant do drop bair sweetspot and kill you through up b if you recover close to the inside of the stage. roy should recover as close to the inside of the stage as possible, because it prevents needle gimps, she cant land the strong bair, and she has no disjoint to abuse you for it. she basically has to ledge jump nair for a sweetspot as her best option. theres 2 ways to play around this- try to up b her when she does the WD off to graab the edge before she actually grabs it, or, up b along the inside of the stage and hold towards the stage and L/R while roy is moving upwards. if she hits you into the stage, you'll automatically tech it and then her edge guard is blown because she no longer has invincibility.
if sheik grabs you, always DI to her back. bthrow has a higher release point and is a much better setup for pseudo-FF chars like roy diddy MK and DIing to her back means she can only dash attack or boostgrab you. if she grabs you at the edge, DI off stage and then recover along the inside of the stage so she still cant interact with you. also make it a point to DI specifically at the edge, if you DI straight off stage only she can combo into run off fair and kill you, but if you do it right she cant do anything. if sheik does throw > non-grab something combo, DI whatever something is away from her, straight away so she cant combo off of it any further. so for example she does bthrow > dtilt > fair, fair should literally never hit.
in summary:
- pick a small stage that accentuates your DD abuse and ban stages that let sheik use platforms to negate DD abuse. atm roy basically is forced to ban DL64 skyworld and the like, but your best stage is also sheiks best stage (FoD) so its reasonable to leave it unbanned even if she snap picks it.
- neutral is basically DD into dtilt or grab > dtilt, while not losing to needles fair and WD back. if you can DD well then this should be natural.
- DI all her stuff away to mitigate her combo game. recover along the inside of the stage if you can to avoid needles/bair and to keep wall teching as an option to beat invincibility
- when you get her, kill her