I hadn't thought of demons as having gender until, like you say, all the gendered titles started cropping up in canon. In the SPN canon, I'll go with yes, they do have gender, only because I don't think SPN necessarily wants to or is capable of casting them outside it :). Less cynically, biblically the gender of angels is ambiguous (well, default always = male, though in the NT there's Paul's "there is neither male nor female before God," and I'm less sure of how gender is represented in Hebrew, though it's my understanding that maleness assigned to God, angels, etc., is just the default expression, and not gendered).

So I would guess that demons would follow the same lines, and for humans who become demons...well, I would think they'd retain the idea of gender from their human experience. But in the biological sense, it seems to be moot. And if hierarchy is based on power, and power isn't based on physical power, then I would think that socially, gender wouldn't have the same meaning in Hell.