I don't feel like Zelda should suffer it's loss of characters just because the way the game is narratively structured while Fire Emblem(which I like mind you) is give free reign to get as many characters as it wants.Maybe if Midna would show up in a canon game again. The problem with these secondary Zelda characters is they really just show up for one game and are never seen again (outside of something like Hyrule Warriors).
Sheik is something of an exception, but you can kinda see why. Because she's Zelda, and Zelda certainly wasn't going to disappear from the franchise.
If there considered important enough to get in as an assist trophy I don't see why someone as popular as Midna isn't allowed to be playable.