In PM, if they DI Dthrow away/down+away, it's basically impossible to have a guaranteed followup. Depending on character and position, it can still setup for a great tech chase or edge guard scenario. The basic idea they had is if you want a similar Dthrow experience, you need to mix up Dthrow with Bthrow. The DI that is "safe" for them on Dthrow, is AWFUL on Bthrow, and vice versa. They need separate DI for each throw to be safe. In PM those throws are faster, so it's harder to react quickly as the grabbed person and pick correctly.
That said, yes your biggest problem I can likely 99.9999% guarantee is jumping too much. Sheik is a retardedly good character because of her ground control. You lose all of that while being in the air. If your opponent is grounded, 95% of the time you should be as well. It's safer, easier, and more threatening for Sheik to be on the ground with these options:
1. DD baiting
2. Dash Grab/Boost Grab
3. Tilts
4. Jab
5. WD
6. Needles
In the air, you're very committed to doing an aerial or needles in the air or else you basically admit that your presence in the air at that moment is an absolute mistake. Sheik's airspeed and ability to get to the ground QUICK is quite bad, so you don't want to be the character that's trying tricky Full Jump/DJ baits. She isn't Falcon or someone who has the fall speed and finesse to be trying that kind of trickiness. Or even take a SH aerial approach. What are the odds of you successfully crossing someone up, also doing it quickly? She doesn't thrive on SHing through people and getting massive shield pressure from that aspect. She gets her pressure from the plethora of ground options and her mobility stemming from some of those options. When Sheik goes to the air, she tends to knock people away. She's not aerially combo orientated besides the very rare Uair strings or the Dair to whatever silly M2K combo you can do on FF's. So it doesn't make sense to forgo a tilt or grab that would lead into a combo, and instead try to Fair/Bair someone on the ground. You're making the game harder for yourself.
TL:DR
You usually wall better
Approach better
Have better defensive options for dealing with their pressure
Better combo and setup potential
All from being on the ground instead of the air. The exceptions to this? Depending on their character, you may have an easier time walling with Bair or dealing with their SH approaches with your own aerials. It's not very often, and you still tend to have viable alternatives on the ground. So the lesson? KEEP THOSE TU'TU'TU'TU' legs on the ground.
