We (or at least I) think of the Borg as a hive and their leader as a queen, like hive insects. But I don't think we've seen any reasons for the leader to be a specific gender.
I read somewhere that the borg were originally meant to look something like insects. In the end, TPTB decided against using so much of the budget for CGI.
If they'd looked more like social insects, a queen would have been mandatory. As the borg are now (humanoid), I don't see any reason to favor one sex over the other.