I might be wrong, but I don't know if Magatsu's sex has ever been confirmed... They are referred to as the sovereign of corpses, not as the king or queen of corpses. That could be just to sound more "other-worldly" or it could actually be masking something to come like a big twist where they try to throw Uncle off guard when he is about to best them in combat and says "actually, I am a girl" expecting mercy (uncle probably either wouldn't care or would have worked it out already using some logic based on a Sega game).
Although, if you think about it do spirits actually have a sex after their physical body has decayed? Do they have ghost wangs or haunted minges? Such mysteries are truly beyond our ken. We don't know either if the skeleton Overlord they encountered in the dungeon was even Magatsu's original body or just another vessel they possessed. I expect that's all just completely over thinking things though.