Sheesh, I can't believe I was only eight or nine when Melee came out; I feel both ridiculously young and old at the same time.
it IS a bit jarring to think about how this game was the one we dreamed about as kids and now it's considered the go-to classic smash game. i remember watching people at EBgames before gamestop took em over playing melee and being so shocked and excited that zelda was in it. was kinda annoyed by her star-KO screaming though. XD
i was 11, so take that.
as for me, i can't really think of anything in particular that i mistakenly thought. even though i was only 9 when smash 64 came out, i knew most of the characters. didn't know falcon or ness, but we read their character descriptions and it was obvious from ness's moves what sort of character he was. had played kirby's dreamland, pokemon r/b/y, starfox 64 (and snes), plenty of zelda, and donkey kong country... the only character left out was samus, but i was VERY early on alerted to the fact that she was female, so i didn't really think she was a robot for that long.
though marth was a girl because my mom's name is martha, but that too was dispelled quickly (the only reason i believed false things about melee during it's first year was because my friend had the gamecube and he was always falling for these sorts of rumors and then telling them to me as if he had experienced them himself).
by the time brawl was out i was already 18 and had been a member of various nintendo forums for several years, so there wasn't a lot for me to mistakenly fall for.