I still wonder why Mario got them and Link, one that in previous incarnation has had them (Like in TP), got them removed? They were just part of the model's texture, and even so, they were not THAT visible. xD And I also wonder where's is that concept art of BoTW Link wearing nothing, looking like a Ken doll. It got posted here once.
This is actually pretty simple to explain.
Mario and Zelda both have very stylized art direction, but they went in vastly different directions.
Mario has stylized shapes and forms, but realistic materials. His skin looks like skin, his clothing looks like cloth, his hair looks like hair, etc. With this attention to detail, the absence of nipples stands out more than having them does.
But for Zelda, at least for BOTW, the models themselves are more realistic in shape and proportion (obviously there's an anime bend to them, but it's within reason for a realistic figure), but the rendering is simple. Flat, cell shaded, with almost no material definition. In this case, part of the design language is removing extraneous details. It's a bit like how you never really notice Aladdin has no nipples until someone points it out.