As someone who has built a Sheena from the ground up, I have a few suggestions:
For one, if you have the orbs saved up, it wouldn’t be a bad idea to take a stab at the current legendary banner to see if you can get either Winter Tharja or legendary Hector to have VF fodder. They are both good units, but if you plan to use this Sheena long-term, investing in her will pay off down the road.
An alternative option: Hector will return in the BHB banner coming in 2 days. If you don’t have a good orb count, don’t want to buy orbs, or don’t want to spend them here, you’ll have a chance to get DC fodder in the coming days. I’d recommend waiting until the last day so you know how many orbs you have to work with.
As for her C and seal slots, with a +res Sheena, ploys are never a bad thing, because she will have 40 res.
If you cannot or do not want to get her DC/VF, guard is a good alternative for her B slot, and fortress def does give her more bulk for her A slot. Ultimately, DC/VF is the way to go, and a new IV would also help you, preferably +res-spd to keep what attack she has or +spd-hp for extra arena scoring.
Hope this gives you ideas.
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