I can see that being a nightmare for programming and balancing. And the dungeons would suffer most. You'd have a bunch of samey mechanics that have to pander because you can't ever be sure of what capabilities the player is coming into them with. Zelda game dungeons are balanced very well...
For anyone who says it makes no sense for one iteration of the hero to be female, remember this:
Sometimes Kaepora Gaebora is human, sometimes he's an Owl. Just sayin'.
Or you could also make something to detect previous save files, but in order for that to work you'd have to have more than one Zelda game on the console (which they can't always seem to manage). That certainly isn't going to happen with the Wii U.