I feel like I know the answer to this...
1. Sheik's combo is not as powerful. It's more akin to a low percent BNB combo, allowing her to rack up damage but never to a ridiculous level. If your opponent is decent they'll be able to DI and only be hit by 1 or 2 F-airs. The combo also pretty much doesn't work at higher percents. Diddy Kong's Hoo-hah, on the other hand, works up to crazy percents like %90, and it KILLS at those percents as well. Sheik alternatively has to put a bit more effort into killing, relying on stuff like weak-nair to BF or a decent edgeguard. It's good at racking damage, yes, but people don't feel it's cheap because the immediate consequences of it are low.
2. Sheik is more interesting to watch. The problem with Diddy's Hoo-hah is that it works at nearly every viable percent, and often there isn't a reason to do any other combo. It is without a doubt Diddy's best option for both damage racking AND killing, so usually that's all we see from Diddy players. The lack of variety from the character's damage output is what makes them tedious to watch. Sheik on the other hand has SO much interesting tech that it can often be a spectacle to see a good Sheik in play. Seeing a Sheik fake-out an opponent with a B-reverse slide cancel, to then grab and pull off an F-throw to BF and lead into an edge-guard which integrates needles, aerials and finally a Bouncing fish into the stage is fun and interesting to watch. The decision making and technical inputs required to pull off such a string is seen as a display of skill, and people get excited by that skill.
There's no decision making behind Diddy's Hoo-hah. It's literally just 'get the grab' and the rest is guaranteed to follow through. Diddy kong lacks a lot of the applicable tech that Sheik has, and thus ends up becoming a bore.