When a character is damseled and there’s no opportunity to play as or interact with the female character, there’s no opportunity to understand the female character as a subject, a person, an individual. She becomes a glorified fetch-quest.
By “kidnapping” the character, you remove her from the story, and by making her helpless, you remove her effect on events, even from afar. Without agency, the damseled character can’t show what she thinks or express herself through her behaviour throughout the game.
Removing women from the story so men can save them downplays the importance and interest of women’s thoughts, actions and struggles. Women are actually interesting as people, and can do things that affect the direction of the story in interesting ways, and deserve to stick around and be part of the game, not shuttered away. Especially fascinating characters like Zelda, who deserve better.