Sheik's a bit more of a grey area, mainly because Sheik is an alter ego/disguise. If we take the not exactly canon OoT manga, then it's definitely leaning more towards Sheik's gender identity being male, but this is discounted by every other source, including Aonuma himself, they refer to Sheik as female. The fact they are referred to as male in OoT's dialogue just could refer to the disguise itself. After all, just cause a woman decides for her Halloween costume to draw a mustache onto her face and put on a tie and a suit doesn't necessarily make her gender identity male, either.