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kronix There are three main reasons:
First, the series is catered to a male audience and a female lead is usually more attractive for that if you are not trying to pull a "superhero" type of character.
Second, it's easier to make a female character more attractive to both men and women at the same time. A good and intresting male character for a male audience (say, Guts from Berserk) will not attract as many females. A good male character for a female audience (say, Sakamoto from Sakamoto) will not attract as many males.
And lastly, it's damn explained by the characters themselves: in memory of Shizue he keeps using her body. While he can change it slightly to look more like a male (remember he is not a male, he is genderless as a slime), he keeps it as close as possible to the original.