the wind waker's story is really about overcoming your past and making your own destiny. it's a subtle lesson, but it happens for pretty much every major character. pretty much everyone grows from who they were into who they are at the end of the game- except ganondorf. what makes him the antagonist is that he can't let go of the past, but the king, tetra, and link are all willing to become different people. and i think the king's realization is that he isn't different enough, and for that reason he has to stay with his kingdom. everyone, except ganondorf, comes away with a sense of responsibility.
majora's mask is all about how people interact with one another and how they face their own mortality. you already listed it as an exception, but it is a main zelda title and i think it deserves to be there.
twilight princess is a little hard to pin down, but i'd say sacrifice is a big one. zelda sacrifices her kingdom and crown so her people may live. she later sacrifices her life or spirit for midna's sake (which is a turning point for midna as a character). midna later gives her life to save link and zelda. it's not just taking responsibility for yourself, but looking out for others. at least, that's the lesson midna learns, as she goes from someone very selfish motives to being genuinely caring about other people.
skyward sword is a mix of the wind waker and ocarina of time. there's a lot of that good vs evil stuff, with some of the taking responsibility mixed in. that's probably only true of zelda and link though. no one else really grows through the game (well, groose too, but that seems more superficial to me).