So you say they remained female. But if you notice in the books of sorrow the worms refer to all three as princes. What I have inferred so far is that gender is not the same to them as it is to us.
Sorta goes like this.
You are female if weaker or lesser.
You are referred to as female if the if the subject referring wants you to believe you're lesser. (You see this when all three refer to each other as sisters)
You are male if you are more powerful
You refer to yourself as male if you claim to be more powerful.
English
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If you notice everywhere else in the Books Sathona/Savathûn and Xi Ro/Xivu Arath are referred to as sisters
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By whom? Who refers to them as sisters.
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Eachother, both before and much, [i]much[/i] after their acceptance of the Worms
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Which either enforces my theory of gender not being the same as we believe it to be. Or debunks it. They could be referring to gender as we do. Or they could still be referring to gender as power.