I want to chime in on the gender thing. I haven't noticed any objectification of the female sex in the game overall (I could have missed something, as I haven't played every route), thus it seems an intentional choice; maybe making a world where there isn't so much sexism if any. Also, it would be weird if only she/her Vesper experience 'heightened risks' as you put it without having to write some women NPCs also having those struggles.
Also, I agree with Ember, the option itself is of pronouns rather than sex (or even gender), so MC could have them be refered to something else than above unrelated to their sex/gender. Or it could be an option for trans folks to feel somewhat included.
Adding variances based on pronoun choice could also pose some problems if someones just not feminine or manly looking/acting/posing. And more, what changes would you implement? Let's say you sexism towards she/her Vesper gets added. Would they/them Vesper experience transphobia, then What would he/him Vesper get, if anything?
If you expand on the choice making it for example pronouns + overall apearence (fem/masc/amb) it could work slightly better, but still, having each combination having some additional flavour irrelevant to the plot would just be some extra work for the creators, while also could be badly recieved if struggles of certain irl people are not understood and implemented properly.
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Just a tiny bit about Vesper. They always felt like their own character with choices they would possibly made, rather than a blank self-instert MC, nor, I believe, was the mc ever marketed to be that. So, it's fine this way imo. More options couldn't hurt but it's not that of a major issue.