Just to clarify a few things...
"Futanari" makes no distinction about the actual gender. The only thing it implies is that a person has breasts and a penis. Whether there is other equipment is left to the author/mangaka.
Hermaphrodites, however, have all of the things. Penis, testicle(s), vagina, uterus, ovar(y/ies).
They do happen in real life, but they are extremely rare, and are usually the result of a serious genetic defect with a mangled XY/XX chromosome. As a result, it's not a pretty picture, with some or even all of the working bits being deficient in some way.
In other words, even though it does happen IRL once in a while, it's not how we're meant to be put together, so it's usually not good in any real sense.
But in this setting... Looks like the higher beings have done something to make it work. Why for? Dunno. But I strongly suspect that this church doctrine Rio brought up isn't what the higher beings intended.