Nope. I guess at first they did want Sheik to combo and Zelda to finish off, but then they get Sheik moves that can kill. Most notably the forward air and a little less notably the down-smash. Considering all of Sheik's moves pretty much lead enough a f-air, there's not much reason to switch to Zelda for her kick =/
Especially since if you do switch, the opponent will take the time while you're transforming to kick your ass. I forgot to switch at the beginning of a match once and my friend comboed me to 60% ;_;
It's usually not even worth switching to Zelda to recover.