Search the templates for "gender". I find these templates:
Admin CP -> Appearance -> Templates
> account_personal_details
> member_view
> message_user_info
> register_form
Search for "female" in the files and you will find some code you need to change. I found these:
library/XenForo/DataWriter/User.php
library/XenForo/Template/Helper/Core.php
library/XenForo/ControllerPublic/Register.php
library/XenForo/Install/Data/MySql.php
And you will need to change the definition of the xf_user.gender field in the database.