I will emphasize this before someone comes in to tell us that Sheik Link is very doable: as Scizor (who has played many seasoned Sheiks like Mr-R) said before: just don't use Link against Sheik. I am content losing to every competent Sheik I meet, and I will, but that's a hard sacrifice that is not worth it to most.
As it happens we currently have a 2nd player who mains Ness, and Ness has a horrible MU against Sheik. So though he beats everyone, including doing better against people Mr-R struggles with, he still always gets destroyed in grand finals against Sheik: it can't be helped. And he is quite lost about what to do now: the best secondary is another Sheik, yet his Sheik will never be as good as all the people who used Sheik since the very start. Yoshi could work: as Mr-R mentioned, Sheik wins the MU, but if the Sheik player doesn't know how to play it Yoshi has the advantage still. Besides, it's not a big loss for Yoshi. Yoshi is a good secondary for Link because he has a command grab and can bypass shields with that well -- i.e. he can be counterpicked against shield-savvy players and characters. I've never seen a Link main secondary him, someone should try it.
I trust Sheik will be nerfed at least some coming patch though. He is clearly the best at the moment, so unless the balance people have their head stuck firmly in their ---- they'll realize something needs to be done about it.