Congratulations! You’ve uncovered your first I7 undocumented weirdness. Terror of the Sierra Madre says:
If “player” is not set to any named person, Inform creates a bland person called “yourself” to represent the player. To avoid this, we set “player” to the person we want to begin as.
And this is a fib, as I said above: it always creates a yourself object. But because I had set the player to Alice in a when play begins rule, instead of in an assertion, I had missed noticing weird details. It turns out that setting the player variable in an assertion is a very different thing from doing so within a rule/phrase/etc.
When an assertion says, e.g., the player is Maleska, as the Terror of the Sierra Madre does, then so far as all the things asserted about yourself and Maleska at the start of game, they are the same object. If you try asserting The description of yourself is "foo". The description of Maleska is "bar". The player is Maleska. you’ll get a compiler error about the contradiction.
The description of yourself defaults to “As good-looking as ever” (in the Standard Rules) so that becomes true of Maleska, because anything asserted about yourself in an assertion at the beginning of the game applies to Maleska.
Despite all this, a “yourself” object still exists. Its printed name is updated to “your former self” and player commands can refer to it as any of “your former self”, “my former self”, “former self”, “former” (try saying showme former self as Maleska or Teresa).
But rules or phrases that referred to yourself would really be referring to the yourself object, i.e., a different object from what yourself meant in the assertions. (We basically never refer to yourself, we refer to the player so in practice this doesn’t come up.)
So it’s appropriate to set Maleska’s description, just as you have. “As good-looking as ever” isn’t dynamically associated with anything; it’s just the description the player object gets by default at the start of the game if nothing else was assigned. If the example didn’t say The player is Maleska. but said When play begins: now the player is Maleska. then Maleska would have no description and examining Maleska would get the “nothing special” message, same as for Teresa.