I've not actually played the series, but doesn't Zelda have the triforce of wisdom or somesuch? Physical strength and combating enemies isn't her strength, and that's perfectly fine. But if she's supposed to be incredibly wise as well as an experienced monarch (or at least trained to be a monarch) then she could be badass on wits alone, regardless of being captured.
Solely being kidnapped doesn't make anyone a damsel in distress. The Joker, Loki, Khan, the bad guy from skyfall, they all got captured and nobody thought they were weak for it.
Solely being kidnapped doesn't make anyone a damsel in distress. The Joker, Loki, Khan, the bad guy from skyfall, they all got captured and nobody thought they were weak for it.