I see nothing wrong with playing as female characters.
Sometimes, male and female characters have different stats and whatnot.
In FE8 (Fire Emblem: The Sacred Stones), for example, males have a higher strength cap than females if they are units that use swords, lances, etc.
On the other hand, female magic users have a higher magic cap than male magic users.
So yeah, it goes to preference and stuff.
If you want to play as a female character, go ahead.