Please note that feminine /= female and masculine /= male. Girly men and tom-boys are not lesser example of men or women, just different. Also, androgynous is a better label for Sheik than 'transgendered', which is to do with someone's gender identity.
I would think that the whole 'girls are helpless' 'boys are capable' gender role schema was irelevant in today's society, but every day I see evidence that it is sill alive and kicking me in the bum. Women routinely make themselves incapable of action in the name of 'fashion'. Conversely, any man who looks similarly incapable is looked down on.
Attractive women in our society are ornamental at the expence of capability. Anyone who thinks for a moment that they will be called on to be capable would not would not bind themselves into footwear/skirts/dresses/corsets that make them incapable of saving themself or anyone else.
So yes, wanting to break out of the defined 'women are helpless' stereotype is still relevant. As much today as 100 years ago when the young male heros in pantomines were played exclusively by young women with a bound chest. Yes, Zelda is throwing away the trappings of 'feminine' in order to become someone who is good in a fight. She gains the allure of androgyny, something that is especially attractive to the repressed.
Belly dancers are not repressed, and they never wear high heels, they are bare footed. They are feminine and strong and sexual. An ancient concept, yet one we seem to have forgotten the lessons of. Today's women are more like ballerinas: bound feet, obscured sexuality*1 (flat chested and hips covered by fluff) straining to be dignified against overwhelming strictures surrounding their movements and role. Lifted high in the arms of a man, can such a woman ever stand on her own?
Sheik's androgyny explores the option of being liberated only to those who feel trapped by their gender role. His ambiguity is most beguiling to those who don't think outside the precepts of our society.
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*1 Of course, to other option modern women seen to have available to them is commodified sexuality, displaying their wares like .. wares. Showing cleavage and underwear isn't liberating when it's de riguear, it simply turns one into an object composed of jiggly bits, interchangeable with any other set of jiggly bits and judged only by the merits of said bits. Again, in belly dancing, one's body is swathed in cloth. It is by one's mastery over one's body movements that one becomes sexual, not by getting your knockers out.
If forced to choose between being trussed up or laying myself out for inspection, I'd definitely truss my chest and lay out my own rules about how I should be treated. Zelda is indeed free to be herself when she is Sheik, and trapped when she is Zelda. Being beautiful (thereby attractive, wanted, desirable company) is a powerful desire for women, and not a wrong or bad desire. But being beautiful should never involve deforming oneself, binding away one's ability to move and express oneself. It's our society that has us convinced so. Find a different way.
This IS a feminist rant because there is a need for feminist ranting. I'm not suggesting you burn your bra, just make sure it's comfy at the end of the day. It's not empowering to choose your own chains, it's empowering to stop chains from binding you. And I see a lot of chain choosers clinging to the siderails of the steps to empowerment.