I actually think it's refreshing exactly because of this. Gender benders usually don't have the character live and breathe their hidden identity quite like Rozen. It would be like a typical manga if they did it as you suggested, and I think the author would have just thrown in stupid subplots of why she needed to be female that has a bunch of loopholes. Rozen is smart and knows she can't be caught ever, it's risky enough to take off the ring while sleeping/sick. This is also more true to history, like that one woman who pretended to be a man so she could get an education and became like a ranked officer in the military as a head doctor. I can't remember her name but no one knew she was a woman until after she died. It's just more authentic with less plot holes, while maintaining its good storyline.
But now I'm attached to this male side of them, i cant imagine the whole story happening and then at the very end they reveal they're female and everyones like girls can do evetything a guy can because they were just a girl pretending to be a guy so. Not to mention it makes me think that they're leading to some sort of omg thryre actually a girl so it's okay you like them after all moment.
I just wish we had MORE of this girl side of them. Like, it's part of them not just some random item throw in there for the story to seem different. Even if it's just filler moments just something idk
At this point just make it a BL we haven't seen their female side at all...which i thought was the whole focus of the story...I wanted to see situations where she used it to her advantage like a superman thing where they're like idk duke by day and female spy at night or something. The fact on the end shes probably going to leave her "fake" guy self just to end up with one of the characters...