I don't think Nintendo should aim for maturity. It naturally springs from good writing and good integration of the player into the world (here's where The Wind Waker excelled). Zelda stories tend to be thematic, their worlds extensive, and their music emotive, which is a great recipe for maturity. Ocarina of Time, Link's Awakening, Majora's Mask, and The Wind Waker are mature games, and I wouldn't mind another Zelda game with the sort of balance those exhibited. To be honest, though, I think of most Zelda games as mature, and am hard-pressed to find an immature one. Even my least favorite Zelda game (Twilight Princess), while clumsy in its presentation, isn't as immature as something like God of War.
Ocarina of Time, especially, is a game I have come to appreciate as I have gotten older; there is an undercurrent of loss and nostalgia, something few children really understand. And there's nuance to the universally appealing, simple plot. It's not always easy to strike that chord, but Ocarina of Time does it beautifully.
If there's one thing I suppose they could change, it's to decrease the amount of hand-holding. The Wind Waker was an entirely linear game, and it worked there, but since then, the games have gotten even more restrictive, sidekicks more patronizing, the plot more cumbersome. Sometimes I really did feel like the developers of Twilight Princess and Skyward Sword assumed I was an idiot or very young because the games moved so slowly and the plot and characters weren't built naturally into their world, but rather forced onto the player through ridiculously long cutscenes that went nowhere fast. That said, I still liked Skyward Sword and found parts of Twilight Princess engaging, so even this doesn't rob Zelda games of maturity or cut into their positive aspects. It's just a childish trend in modern games that should have stayed out of Zelda games.
What makes LoZ childish to me is the fact that the darkness threatening Hyrule never seems to be so bad and the reasons characters do stuff is never explained. There are no casualties and the good guys always remain unharmed and defeat the bad guy for good. So to make it more mature I'd like to see some more deaths, They don't have to be bloody or disgusting, They just need to send a clear message of how much of a threat the villain is and show us that things don't always go as planned. The story should also tell us more deeply why characters want to help or destroy Hyrule, Is it because they got heartbroken, lost a loved one, want political power, religious? etc.
I don't mind a certain amount of explanation, but sometimes things are better left unexplained. I think Ganondorf's motivations were made clear enough even before The Wind Waker, and with The Wind Waker (whether he was lying or not), there was ample explanation. "Deep" villains can be good, but we're not rooting for them and Link likely doesn't have access to a huge well of information on them, so sometimes it's better to leave some things to the imagination.
As for deaths, well, Zelda games tend to have plenty of deaths. I can't remember one in Skyward Sword or Twilight Princess, but A Link to the Past, Ocarina of Time, and Majora's Mask were all fairly blatant about the doom and gloom brought on by their villains, and death played a part in this. The Wind Waker is the most dramatic example. Not only is a kingdom wiped out of existence, but there are plenty of implied deaths in the opening, and one particular character's sacrifice at the end of the game is moving. It's an example of a story that uses death effectively.
Even if these games hadn't had deaths, they would have worked just fine.
But I do like how Ocarina of Time was a bit more subtle. We didn't see many deaths on-screen (though the inaugural death of the Deku Tree was immesurably powerful), but the sheer terror and desperation caused by Ganondorf's reign was implied visually
. The Hyrule Child Link becomes familiar with is very different from Adult Link's Hyrule. A Link to the Past doesn't really hit me the same way, but from a design perspective, the Dark World takes a similar approach. This is far better than killing off a few characters for the hell of it.
Why not have some sexuality, or at least sensuality, within the series?
Well, the main characters in Zelda games are often children, so that would be creepy.
Even with older characters, I think betraying the innocence of Link and Zelda is one of the things a Zelda game just shouldn't do. Sexuality and sensuality are not associated with innocence in most modern cultures, but this is one thing that consistently divides Link from his adversaries, which often represent corruption. It could betray a core theme that's best left unchanged. The romance tends to work fine without sexuality, too--Link and Marin from LA and Link and Zelda from SS had love stories that I could actually believe in, even if in both cases there wasn't much physicality to the relationships.
Furthermore, it's just unnecessary. It wouldn't add anything, and would possibly limit the audience. If people really want to sexualize these characters, I'm sure there's plenty of fanfiction for that.