Sex is a tool for reproduction. Gods don't reproduce. Neither do dragons. They don't have genders.
Whether or not they choose to appear feminine or masculine to the mortals is really up to them. Boethiah's sphere is conspiracy and deceit, a Daedric Prince who likes to tool with the minds of the mortals. Make your own conclusions.
Daedric Princes are genderless, so they can't be male or female. They're just represented differently by their followers, and like to appear as different genders. Azura prefers to appear as a female, Sheo as a male, etc.