Changing your preferred gender only affects pronouns and some incidental word choices, it doesn't affect anything else.
If you have a vagina and a loss scene involves getting fucked by an enemy that can impregnate the Champ, there's a chance they'll end up pregnant. You can reduce but not eliminate the possibility of this by turning on Buttslut Mode which causes the scenes to prioritize anal (depends on the scene whether this will actually keep them away from your vagina entirely) and you can completely remove the possibility of getting impregnated by using Brown Leaf.