I'd say in game there's no differences but there's definitely a difference based on their gender if you consider how they'd be treated by their servants outside of what we see. For example Gudako would be able to do and see things with the female servants Gudao wouldn't be able to. And their previous lives would be different based off their gender. I think that's what the manga do best. Like how in the Shimousa manga Gudako really felt like a mom to Jack. Or how in the Salem manga she comes across as a sister to Robin. She's also better able to join the play has a woman than if she was Gudao. I do hate that fact that the Agartha story (worst story imo) doesn't play up the gender part, since that's the only story in FGO where it would really matter playing Gudako or Gudao.