About spoilers, I agree that Smash is full of them.
Sheik and Lucina being blatant ones. And yes, even though transformations are gone in Smash 4, the game more than tells you that Sheik is Zelda, with stuff such as her trophy description, certain Event Matches or a Conquest themed after alter egos in which the teams were Samus and Zero Suit Samus, Mario and Dr. Mario and, you guessed it, Zelda and Sheik.
That certain Xenoblade character in Project X Zone 2 is just joining the club of the Spoiler Ladies.