Zelda's voice seemed to convey depression and stress to me, which would be appropriate. Honestly with Japanese voices the tone wouldn't be the same to those that speak english. Even in casual conversation Japanese males have a dominating and stern tone and females have timid and soft tone. Unless you natively speak Japanese the subtlety in there tones to each situation would be lost.
I would honestly just say to experience it honestly to the original intentions of the work — in the same way one would not watch a Godard or Tartovsky film dubbed into English, if one has the option to experience the original audio track. (Conversely, no film professor ever told me I will need to have learned French or Russian for x screening.) I am making no judgement of the quality of the English voice acting, but if I can consume something as close as possible to the original authorial vision, then I'll go for that.
Ultimately for imported media, the local casting/voice directors don't have the benefit of working directly with the creators, creating a degree of separation that
could be greater than that of a language barrier. (Emphasis on
could: excellent English voiceovers include
Cowboy Bebop and
Haruhi Suzumiya, worth experiencing alongside the original.) Enteking is correct in saying
a voice transports not only the word itself but also the tone, intention and the feelings of a character.
Skilled actors can convey intention and meaning without the audience necessarily needing to understand the exact words. On the other hand, even people who natively speak languages have subtext lost on them in both fiction and real conversations. And yes, the text translation could be off either way — but if it is, at least there's the chance you can tell what's up from a disconnect between the performance you hear and what you read, as opposed to a performance tailored to a rough script, if that is what you want.
However, this method is for switching audio overall, and not specifically English -> Japanese, which is usually a feature in games! I don't know, if a young American-Japanese kid is shaky on their English still, they might prefer to be able to do this, especially since importing from Japan is relatively expensive. Even for going from English to another language could be useful - for example, people chose to change Assassin's Creed 2's voice track to Italian to better match the diegesis.
There is also the opportunity to play it twice with each language track to appreciate the strengths of both, if one wishes.
So tl;dr: yes, there may be weeb reasons for some people, but there are also more justified reasons for others. It's easy to paint everyone doing this as a weeb, but that's a disservice to them and yourself.
EDIT: yoshinatsu beat me to it!
So are we waiting for Mocha+fshax to be fixed? Use cfwbooter for now if you have a disc?