Part of it is because I prefer Zelda over Peach. Plus, more the most part, Peach rarely show signs of being a competent fight. Sure, there was the RPG game, and her own Super Princess Peach game, but that's only two among the dozen of Mario games. And no, I don't count Paper Princess Peach, since the Paper counterpart is her own separate character.
Zelda, on the other hand, isn't just a princess, but she's also a general is some versions. The Breath of the Wild, and Hyrule Warrior versions of her are some of the best examples. Not only that, even when Zelda is captured, or in a situation where she's held against her will, she still provides some sort of support for Link during the many final battles with Ganon, or a dark entity.
Hell, in Skyward Sword, it's revealed that Zelda is a reincarnation of of the three Goddess of Hyrule, so she is a very powerful being in the Zelda Universe.