Sure Ankoku, I'll give my input on this.
Basically Shiek is much more of a problem for ZSS than Zelda is. Her needles are much faster than anything ZSS can pull out which makes for a strong advantage. If ZSS decides to go for a forward B, and the Sheik player is good at predicting/reacting to that they can run and powershield a good amount of the time. Sheik can then bridge the distance gap pretty easily and she is better at close range combat than ZSS. ZSS cannot really be f-tilt locked much, but f-tilt is still quick and a good set up move.
Sheik's quick edgeguarding game may gimp ZSS once in a blue moon, but other than that it's going to be a bit tough to get the kill without switching to Zelda. A solid upsmash can also do the trick sometimes too though.
Zelda on the other hand, is too slow to handle ZSS well. ZSS' camping is better than Zelda's Dins fire, although that move can still be useful especially if ZSS short hop side-Bs a lot. Zelda also gets comboed badly if sent in the air. This is almost always a problem for Zelda, but ZSS' aerial game is ridiculously good so it makes matters much worse. ZSS' edgeguarding destroys Zelda as well.
Zelda has to play a stong defensive game to have a chance against ZSS, but the best bet is to use both Sheik and Zelda IMO.
That's what I can think of off the top of my head. If anyone has any specific questions post up