There are plenty of matchups where it is very beneficial to use both.
However, it is very difficult to maintain mastery with both characters, especially since both have to be played so differently.
I, myself, generally tend to use Sheik and only Sheik. However, when I find myself having difficulty getting that KO, I switch to Zelda against the likes of Snake, DDD, or Tlink who have powerful defensive games. My Zelda used to get punished hard when I rushed in too much for KO's, so I improved my Zelda to do very well in those KO-range situations and now my Zelda is pretty solid when I am looking for that KO.
I think I would use Zelda a lot more if my Zelda was better, I would transform more... but I play such an aggressive playstyle that it is hard for me to make the transition sometimes.