Disclaimer: I haven't beaten the game yet. I skipped past the spoilery bit in the original post.
I heartily agree. Having a female protagonist would of course mean a lot of changes in dialogue, gameplay, and artwork, but for the level of customizability, I think it would be very worth it.
On one hand, the name Tales of Androgny would imply that having a protagonist who, shall we say, isn't exactly the picture of stereotypical gender roles is one of the main themes; on the other hand, considering the nature of the game with dialogue often being purposefully degrading, I think allowing the player to control the content of the game would be a great boon.
Now, hear me out; I'm probably going to sound like an "angry SJW" with this, but while I do believe in social justice (SJW is a self-contradictory term meant to point out the hypocrisy of the more extreme left), I also believe that as a work of fiction, any one game or item of media has the right to exist, regardless of the views it seems to advocate or the demographic it caters to. The reason I advocate control of content is because it allows the game to cater to a wider audience, meaning more people play it, meaning more people buy/support it. A good deal all around.
There are several reasons why I think having a female protagonist would be a good way to do that. One, seeing as this is meant to be, y'know, an erotic game, people have very different and specific tastes when it comes to erotica. Some might be turned on by an effeminate boy, some might not. Two, trans people- not that people can't play as a different gender from their own, but that, since the game refers to the protagonist as "you" in all dialogue, including the more explicit stuff, it could be a turn-off for trans people who would struggle with that, or even cis people who struggle with them, personally, being referred to in certain ways, especially because the game uses a lot of gendered language and slang. Again, I realize that's probably meant to be a theme of the game, but I think that with the right handling, more customization could allow players a more enjoyable experience.
Potential marketability aside, I personally think the option for a female protagonist would be awesome. You could choose your anatomy, whether or not to have breasts, a penis, a vagina, balls etc., and what you'd be referred to in-game (being agender, I'd like a they/them option). Having a vagina would make things really interesting; the changes to dialogue in fights such as the Wereslut and even the potential for actual pregnancy could change the feel of the game quiet a bit, making it fun to replay with different settings.
P.S. OP, if you enable the Futa+ setting in the Settings menu, more (but not all) of the enemies you encounter will be more feminine, but with the same genitals. I played with it on the first time, so I was confused by what you meant until I tried playing with Futa+ off. Just in case you didn't know.