Whilst many years ago Mr & Mrs Hisfirst HisLast may have been the correct way, I understand that one of the underlying principles of etiquette is about making someone else comfortable so surely it is acceptable to address someone in they way they wish to be addressed.
I believe people's preferences and comfort levels should be respected.
However, traditional etiquette also held that Mrs. Herfirst name Marriedlastname indicated a divorcee. While married, she was Mrs. John Brown, and when she got divorced she was Mrs. Helen Brown. If she had been widowed, she'd have remained Mrs. John Brown.
I don't know how many people know/think about that in this day and age, so it might not occur to people of younger generations that "Mrs. Helen Brown" would indicate that the woman is divorced.
It is definitely sexist in the sense that the woman becomes absorbed into her husband as part of him; I am Mrs. David Flutterby, but no one ever refers to him as Mr. Cathy Flutterby. (If any of you have a copy of the 1950 Betty Crocker Picture Cookbook, you will often see recipes attributed thusly: "Created by Mrs. David Flutterby of Minneapolis, formerly Cathy Glockenspiel of our staff." I can understand why some women now feel as if they lose an essential part of themselves by being referred to as Mrs. Husband's Name. I didn't stop being Cathy Glockenspiel when I married David Flutterby. I accepted his last name, but I never stopped being me. A part of me wishes that I'd kept my birth name along with taking my married name, but I didn't want to drop my beloved middle name, and having all four names would have been a bit unwieldy.
I don't mind being addressed as Mr. and Mrs. David Flutterby on formal correspondence addressed to us both, but I admit it would annoy me to receive mail intended only for me addressed as Mrs. David Flutterby. In most cases, David and Cathy Flutterby, Cathy and David Flutterby or just Cathy Flutterby will do.
Being addressed in person, I do in some situations prefer Mrs. Flutterby. Most of the time, Cathy will do nicely.