Xigger
Smash Lord
Ignoring all present debate concerning Zelda and the Knight, Sheik and Impa, let's ask a different question: Why does Zelda transform into Sheik in the first place? We don't have much information on why they were included the way they are.
My best guess is either that Sakurai wanted Sheik specifically and having the same person as a separate character was undesired (Sheik was made before the clones, mind you,) or that he felt Zelda wouldn't be complete by herself.
My best guess is either that Sakurai wanted Sheik specifically and having the same person as a separate character was undesired (Sheik was made before the clones, mind you,) or that he felt Zelda wouldn't be complete by herself.