On the one hand, given the WoL's history as an Amaurotian and different incarnations as both genders over the millennia, 'they' makes quite a bit of sense from an RP perspective - RL politics aside. Especially in 6.0-onward, when we're fully aware of our history.
On the other, with Fantasias apparently being in-canon things and not really all that expensive - I'm not convinced that transgenderism would really be a thing in Eorzea. Or rather, that it *would* be a thing (and probably much more pervasive than on Earth to boot, since anyone 'questioning' could just buy two and switch back if unhappy) - but using a 'he'/'she' pronoun the opposite of the physical body would be really strange, since it's very simple to just change the physical body instead.