Oh, for crying out loud. Yes, they use male or female pronouns based on the characters physical sex. Are we really now demanding that EVERY game gives you the option to choose between male, female and gender-neutral pronouns? Even those with voice acting? Does it really hurt you that much to be referred as as a "he" or "she" in a game? I play plenty of games where my character doesn't match my physical appearance, maybe I've been traumatised all along, not knowing I was being verbally assaulted!
And no, it's not a weird question to ask, as the main thing it determines is the physical appearance of your character. It's not like people who choose "girl" get stuck in a kitchen for the entire game.