You unlock the sex changing bracelet after the succubus scene in the intro. It's in your bedroom ^^ (a start points to it on your minimap)
Ah, so it's a male protagonist that can change his body, rather than choosing between a male or female protagonist.
The protagonist is the same from magical waifus academy, so he starts male.
That being said, what is his natural gender, I leave that up to the players to make their own head canons
