I agree. I really like that Sheik's more feminine than before, and Sheik's Hyrule Warriors design is cuter than her previous ones. Well, at least as cute as sneaky, knife-wielding ninjas can get
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In Hyrule Warriors, Sheik's gimmick is her weapon: the Harp. Sheik's combos are really simple, but every combo finisher has an associated element. After using a combo finisher, a music note with the relevant element's symbol emblazoned on it appears on the HUD. Pressing X will cause Sheik to play her Harp, which will have a variety of different effects that change based on the elemental music note currently present. It's really fun and interesting, and that's part of the reason she's my favorite character!
I don't have anything against Sheik in Smash 4, but, at the same time, she doesn't really do anything for me. I like that she's fast and everything, so I enjoy her playstyle, but none of her moves or attacks really appeal to me. She just doesn't pop out at me like so many other characters do. To me, Sheik is just kind of...there. It's a shame, too, because I really like Sheik as a character. However, I can see why other people would enjoy her as is, and I'll respect that. Still, I personally wouldn't mind seeing a moveset overhaul that involved her Harp from Hyrule Warriors.
I never thought Marth was a girl, either. I mean, he does look pretty feminine, but he never really struck me as a woman. I think the voice is what convinced me he was a man, since it's clearly masculine, and his shortish haircut may have also played a part in my decision. Back when I first laid eyes on Marth, I was young enough that I thought of shorter hair as a masculine trait and longer hair as a feminine trait, so I suppose that may have played a part.