This is actually a very good question, and also one brought up by a writer (?) of the Simpson's once. He didn't like all of the jokes that implied that Smithers was gay, because in his mind he wasn't, he just loved Mr. Burns. So had Mr. Burns been a women he would have been 'straight'. So, I think it is the same sort of situation here, and something that we'd have to really ask Jo to know.
By the way, it makes me wonder...if JKR had intended Grindelwald to be a female character, would Dumbledore still be gay? Was Dumbledore's homosexuality just the result of JKR wanting him to fall in love with a certain type of character?