I'll weigh in on this.
Keep in mind that while I am a Zelda "main", I have no reservations between switching back and forth. I use Sheik a lot, especially to start of matches in order to rack up damage so that Zelda will have no stale move decay when it's time to KO. Choosing Zelda/Sheik will be based on a matchup. It's foolish not to play Sheik over Zelda against certain characters.
But onto the topic...
First, they are the same character.
But because Zelda/Sheik can switch back and forth, in some aspects each needs to be evaluated individually.
Tier lists or matchups is a good example.
Depending on which character you are, a matchup might be completely different. For instance ROB. Sheik has a disadvantage, Zelda has an advantage. Since each acts like a full character, we weigh the matchups individually since you can't be both Sheik/Zelda at the same time (literally).
The tier list is another problem. Theoretically you could combine the strengths of both Sheik/Zelda and use that for a tier placement, but there is a flaw in this.
The transformation time between Sheik/Zelda makes it so that you don't have full access to both characters. You really need to choose wisely which character your going to be. Unless your opponent is at high percent or makes a huge mistake (they are either knocked very far from you, or for some reason cannot reach you) transforming is not safe.
You leave yourself open by transforming, so you don't really have instant access to both characters. Realistically, you're ability to transform safely is only when you opponent (or you) is at high percent or you're at the start of a fresh life.
Plus, unlike PT, a character made up of his parts because you HAVE to transform and use all three (not only is it automatic, but his pokemon don't retain invulnerability if they transform at the start of a life)... Zelda or Sheik are never forced to transform. You can play either one as much or as little as you want. Essentially separating them.
Granted, if Zelda/Sheik could transform instantly without any lag... it'd be a different issue. Then you'd probably have to tier them accordingly. But that isn't the case in Melee or Brawl.
Second...
No one has really defined whether switching Sheik/Zelda at the character select is counterpicking. In a way it is, but technically it's not since its the same character. You shouldn't be bothered about it though, there's no rule against it. If someone says you can't, call them out on it.
I've never had any disagreements about switching Zelda/Sheik during a match.
You could always pretend you forgot or something if you wanted to be sneaky.