For me, it's always depended on what you're referring to: Sheik the persona, or Sheik the person. The persona is clearly intended to be male, so if you're referring to that, then male terms would be correct. However, referring to the person would mean referring to Zelda, which would require female terms.
I always refer to the persona, as that just makes more sense to me. If I'm discussing the person, then I might as well just be saying "Zelda".
For me, it's always depended on what you're referring to: Sheik the persona, or Sheik the person. The persona is clearly intended to be male, so if you're referring to that, then male terms would be correct. However, referring to the person would mean referring to Zelda, which would require female terms.
I always refer to the persona, as that just makes more sense to me. If I'm discussing the person, then I might as well just be saying "Zelda".