I don't mind personally what gender a person chooses as their character in-game, as long as they aren't trying to portray themselves as a female out of game to other players. For example, you meet someone in FFXIV and become friends. Eventually you become best buddies. This buddy plays a female character. Nothing wrong with that, right? Now what if this buddy says their real gender outside of the game is female. Again, nothing wrong. Well later you find out that friend has actually been lying, they're really a guy IRL. That's where it's wrong.
Now if you're going into the game looking for a hot girl to know and everything, the person who lies to you about their real gender is wrong, but in a way you deserve this. At least that's my personal view.
Now to answer the subject, I do play two different characters, one which is my primary, a male Hyur Midlander, and a not-as-much-used female Seeker of the Sun Miqo'te. Normally the female character isn't used as much only because I feel more connected to the other. Is it a gender thing? Dunno. I'd really love to make a male Miqo'te but since I want a Miqo'te and only females are available, I'll play as that. Now, if they had both genders available I'd probably still play as a female character sometimes, however both would be Miqo'te. :P
FINAL FANTASY XIV Roleplayer
Sair Gammonari - Hyur Midlander Male - Conjurer (Somewhat retired.)
Mihana Zhralyia - Miqo'te Seeker of the Sun Female - Archer