Sexiness is fine, but not when it's the only aspect of the character. Take Yuna from FF10 for example
In FF10, Yuna was very well developed. She was timid yet strong willed, naive but not stupid. She was a damsel in distress but could bring the pain when she needed to. She was willing to sacrifice everything to bring happiness to the world, yet it still terrified her. Seeing everything she believed in crumble all around her only strengthened her resolve. And she was sexy, despite her modest clothing.
In FF10-2 Yuna was reduced to a pistol wielding pop singer in tight revealing clothing, and all she wanted was to get her boyfriend back. Sexy yes, but not much else going for her, and the game suffered for it. (amongst other reasons)
They can make characters as sexy as they want, but sexiness cannot carry a game (edit: or a character) by itself.