I'm fine with Shovel Knight having a sex swap since he's still a new character and it was a stretch goal in the Kickstarter, so they made this promise before the game was out, before Shovel Knight had the identity he has now.
It's different with say, the situation with Link possibly being a girl (which I don't think is happening at this point), because he's a storied character with a 30 year history. It'd be like making a female Mario called "Maria".
With that said though, it would have been way cooler if they just flat out let us play as Shield Knight, with Shovel Knight being the one we save. It wouldn't be a full blown new campaign like the others, just a character swap. They're already making Shield Knight playable in the Battle Mode anyway so after that, implementing her should not have taken much work.