Female/Futa is about the characters, not the MC.
Ah, it said "Character Gender", so I automatically assumed it meant as in the main character.
EDIT: No wait, I was right. It is MC gender, not characters.
Changelog said:
New option in the Preferences menu: choose the player character’s gender between Female or Futa ⚧️ (you can change it anytime!)
EDIT again: Eh, nevermind. Seems a lot of things aren't translated, and what is translated, is rather wonky. Plus, it just dumps you in a sandbox with no direction on what to do. Just click randomly and hope for the best it seems.
You were right though, that setting changes nothing it seems. Still play as some guy named Jason. Not sure what that changelog is going on about, as it is written like you can choose the protagonist's gender with that setting. As well, if it is meant for characters, it doesn't seem to work for them either. Had it set to female and still ran into futas. So yeah, no idea what that is for lol.
Either way, not for me. Thought I'd try to check it out but just needs some work (mainly in the translation and parts that aren't even translated). Still, best of luck and thanks.