This question Why do the other changelings look like Dr Mora? deals with why the changelings take on the appearance they do. But why is the Female Changeling female?
Is there a biological basis for gender in the Changelings? Shouldn't they be genderless? Is this a choice she made for dealing with Solids?Do Shapeshifters, like Odo, shift just shape, or composition as well? talks about how the changelings don't have parts.
Note: Before anyone says it and implies I'm somehow shortsighted to assume male is the default, I do realize you could ask why the other Changelings are male. You could ask this question about any number of aliens encountered in Star Trek. That's another question. The changelings are unique however, since it's not obvious whether/why they have gender and also because they choose their appearance. Presumably if the Changelings really are genderless, then the answer for Odo is due to Dr. Mora. At any rate, the female changeling is special because she is unique and is actually known as The Female Changeling.