I clicked on the link for "Sitar in Popular Music", and they mention Demyx! Check it out:
Sitar in popular music - Wikipedia, the free encyclopedia
They say that his might be electric, but how he manages that with his water element I'll never know.
I don't know why they picked a sitar for him, but I like that his weapon is a musical instrument. Like Lenny264 just pointed out, it's different from the typical swords, spears, etc.
Possibly in reference to it being a musical instrument that requires power? Or something along those lines? However, Wikipedia has been known to lead us astray with information in regards to Kingdom Hearts.