They have no purpose beyond their function to accomplish the Founders' goals, so what use do they have for separate genders?
To make them more personable to the races with which they are negotiating, I imagine. Rather than a sexless drone the people are put at ease by a clearly definable male or female such as they're used to. Plus, I guess they can on occasion play the "attractive member of your preferred sex" role, and (perhaps?) have an advantage of some description over a distracted alien. Though in that case, you'd think the Founders would have given them sex drives so that they could actually pull it off convincingly.
But giving them sex drives would be too risky, while on one hand it might help them manipulate someone sexually, it could just as well make them vulnerable to manipulation. Besides, the Founders do not want their servant races to have any other strong interests besides serving their "gods". I presume that this is why the Vorta don't have an aesthetic sense and can only feel some tastes. As a Founder, you don't want them to get too distracted by anything - food, drink, sex, beauty, art - of the conquered worlds, or, even worse, develop an affinity or attachment to those worlds' cultures or members of those species. Imagine if your Vorta becomes addicted to Quark's holoprograms, can't get enough of kanar, or, worse, gets seduced by an attractive and friendly person who is in fact a Tal Shiar or Section 31 agent!