I think Twilight Princess is probably the most morally complex Zelda game, even if Skyward Sword is my favorite. The primary reason I enjoy Skyward Sword so much is admittedly Ghirahim (even if I do also think the sword swipes are fun addition rather than the annoyance a lot of people had with them). A Link Between Worlds also had more moral complexity than most Zelda games, though I'd still rate Twilight Princess as more complex than that one.