. . .I think the new Dax should have been male
But that would have left Kira as the only female main cast member. I don't think they wanted to do that.
They had Leeta, Kai Winn and Kasidy as major recurring characters and they could have used Keiko morw, it's not like Kira was the only female left on the show. TNG had Marina Sirtis as the only female main cast member during season 2, it happened before.
Or they could have introduced a new female main character and have the male Dax be recurring.
I think a male Dax would have been more interesting, it would have been great to see what changing gender does to a joined Trill. How does a straight male host deal with memories of being in love with men, especially if the former husband is still around? What about Bashir? What would he feel if the male Dax still has feelings for him and is similar in personality to Jadzia Dax? What if Bashir recognized some of Jadzia's quirks that he thought of as cute or lovable before, woult the person be more important of the newly attached penis?
Things like that were touched on a little bit during the Odan episode of TNG and the Lenara Khan DS9 episode but it would have been different with major characters over an entire season or at least part of it, the most important part would have been that it involves male characters, the "gay stuff" in both the Odan and Khan episodes was about women.