I like how you rising up-air from the ledge, alot of the best gannons don't do that, and instead they just hit jump and are far more punished. I never understood that..
Anyways, neutral airs are a safe spam against a quicker, more agressive sheik, but you certainly didn't have any trouble with that one.
A tip on chain grabbing: Sheik goes pretty high in the air at low damage and takes awhile to get down, so she's one of the easiest for gannon to chain. You can't di away out of gannon's down throw because it barely moves your character forward at all. Di'ing towards gannon, on the other hand, sends you much farther. To make sure you can continue to chain try this. After the down throw start immediately to run the opposite direction. If she di's backwards you can just grab her immediately, but if she di's up or forward you can turn around in a dash dance and grab her. It's bascially the same technique a good marth uses to chain fox after he's past 20 damage.