I think it would be easy enough in each language to add this option. Japanese actually very rarely uses he/she/him/her; typically something like 'ano hito' (that person) is used, or a name is used (reason why third person for 'cutesy' talk is so common), or it is otherwise clear in context who is being referred to. As for MSQ dialogue, it is usually clear when the WoL is being discussed while they're right there in the room.

The problem is, I think, that they might have trouble with gender-locked gear, because you have to pick a body type to go with the gender...so unless this is a purely MSQ-cosmetic option, it would take a lot of time to implement.

As for the 'John and Mary are having an argument' example, you also run into this problem with 'John and Tim are having an argument. He wants you to take his side.' It's not just they/them as singular that causes confusion there, and as others have said it has been used as a singular pronoun for some time now.