It depends a lot on how they started. If they were created by or from a gendered biological species, they're more likely to have genders. If they evolved independently or by/from a single-gendered or hermaphroditic species, they're less likely to have separate genders, let alone the style that humans have. (Look around Earth alone -- there are a lot more options than most humans notice.) But then when they come into contact with humans, that opens more doors. There's always going to be someone who never felt quite right at home, but stumbles across a new option elsewhere.

"OH! So that's what I am. It's called a female. Great." *weld weld*

"What are you doing?"

"Transforming."