Blame the English language for having no gender neutral terms to use. "They" is grammatically incorrect, and even if it's starting to catch on it cannot be assumed that everyone will be comfortable using it. Consider the use of "he" to be similar to the use of the word "mankind" in such cases - the speaker doesn't honestly know (or care) whether you are female or male.

They may not even know whether your CHARACTER is male or female; a commonly female name isn't a giveaway either, as many use such names ironically (such as making a big, buff Highlander Hyur and naming him "Tiffany"). When I join an instance, I rarely pay much attention to the characters around me - my eyes are on the enemy if I'm PLD or SMN, or they are on that row of HP bars if I'm WHM. That glamour set you spent 3 million to build, or that character you spent hours designing in the character editor to get just right? Lost on me. I probably won't even know what race you are.