The story is a continuation of your character's journey. If you choose a female to play in Book II, then we just assume that your character was a female in Book I.
The original consideration of a male-only character for the entire series was to eliminate this issue with switching genders between games. We have since removed any reference to gender-specific elements so that even if you switch genders, the story can still be valid.
As for which ending is canon, either ending works into the storyline of Book II. Either way, Thaermore is destroyed. Can't say much more about it though.
