Something to note: players of light characters often think that just because they can't be CGed, characters like Pikachu and Dedede automatically pose no threat to them. There's not really any Zelda vs. Pikachu happening at high levels of play, so I think the assumption that Zelda "beats" Pikachu is not really founded on anything recent.
Pikachu has plenty of things going for him outside of chain grabs. Do any moves Zelda has exploit a flaw Pikachu has? Three things come to mind for me:
1. Din's Fire is pretty effective vs. Pikachu compared to the rest of the cast because he doesn't have enough horizontal range to just attack the fireballs and win. ZSS has a similar problem (side-b is too slow and uair is vertical).
2. Zelda has range, Pikachu doesn't. It's possible Zelda's ground game and nair make it hard for Pikachu to approach, but then, shielding is still very good vs. Zelda. She can mix up, though.
3. Pikachu is good at gimping, and Zelda's recovery is bad, but in this match-up I don't think Pikachu has the right tools to gimp Zelda. Am I wrong about this? I don't see it as being a case where when Zelda goes off-stage she auto-loses, so her recovery is actually pretty effective and she becomes harder to kill than usual. Pikachu also has survivability as a huge advantage under normal circumstances, where Zelda still kills him pretty early and at a safe distance.
This is all just conjecture though.