Zelda is a girl - she's Princess Zelda. The main (playable) character, Link, is male. Though I don't think it matters much. I think all the Zelda games give you the option to choose your own name at the beginning though. I played Twilight Princess first, and put my own first name in... and then was referred to as 'laddie' etc throughout. I totally get why this dad has done this.
That's excellent. It annoys me how few games there are with adventurous female characters, or females that aren't all eyelashes or sexy costumes. My dh plays Zelda with our dd, am going to show him this and shame him ;)