Name sounds kinda female-only, so there's quite a chance that DL was a female from the start.
Probably masqueraded as a guy for political reasons and that's why we see male DL in Frey memories.
Demonlord def remembers her past life and the name sounds femalish but i dont think frey puts anything into gender at all seeing the start with the boobies and no clothes etc and no clue where milk comes from.