Even when you have selected the female avatar, the Avatar Appearance always shows the male avatar first when you launch the game.
To reproduce:

• Go to Avatar Appearance
• Select female avatar and confirm
• restart the game
• go to Avatar Appearance, you will be shown the male avatar

This does not happen when you exit the Avatar Appearance menu and open it again. You will be shown the female avatar, as expected.

In-game you will use the female avatar correctly, it's just this menu where the avatar is not correctly shown.