Well there are two entities: the character and the player. The character is female, but a player doesn't need to identify as female to have a female character.

Well there are two entities: the character and the player. The character is female, but a player doesn't need to identify as female to have a female character. Since the article is about the player more generally (the article discusses the player in other games), and the player prefers not to be gendered, I think "they" is appropriate here.