This is my opinion, which I think will be unpopular because it’s a bit combative (full Umineko spoilers):
Imagine we were trying to figure out Zepar and Furfur’s genders. Their descriptions say that they are of opposite genders. As good detectives, we hold both versions of the story in our heads at once, analyzing the evidence for and against each one, and eventually arguing in favor of one of them. Now, in some sense, this is a self-defeating exercise. For starters, the only way we could ever know their genders for sure is if it was stated in red text, and no such statement exists. More importantly, though, the fact of their genders being ambiguous has a specific emotional impact, which is deliberately introduced by the storyteller and which can’t be captured in a framework that only admits of the possibilities “Zepar is a woman and Furfur is a man”, and “Zepar is a man and Furfur is a woman”. To argue in favor of one of those two possibilities is to destroy the impact of their ambiguity, and to deny Zepar and Furfur the freedom of identity that defines their characters.
However, in another sense, arguing over Zepar and Furfur’s genders is precisely what makes them ambiguous in the first place. I mean that in two different ways (naturally). First, just as with all mystery in Umineko, their genders are ambiguous for the purpose of being argued over. Mystery novels are fun because we can come up with theories and debate them with our fellow readers, so debating over Zepar and Furfur’s genders may be to enjoy and respect their characters more than if we simply maintained a self-righteous silence. Second, I believe that the ambiguity of Zepar and Furfur’s genders is actually manifested and given power in the real world by arguing over them. Every story in which Zepar is a woman gives her freedom to claim that she is a woman, and every story in which Zepar is a man gives him freedom to claim that he is a man.
And that’s pretty much how I feel about people saying “Sayo is a woman” or “Sayo is a man”. (Sorry, I told you it was going to be combative.) Battler figured out a lot of things about Sayo, but he understood that he could never pronounce on their gender, because it is a truly sealed catbox that only Sayo themself could peek into. And I think that fixating over the two options of Sayo being a man or a woman causes us to ignore the more important question of what role this dilemma plays in Sayo’s character.
Just like Zepar and Furfur’s ambiguity, Sayo’s indecisiveness is a crucial factor of their personality. They dither over whether to pursue George, Jessica, or Battler; they endlessly ponder whether to go through with the murders; all of their magic is left to the whim of chance; and one of their favorite techniques of the game is to postpone decisions as long as possible. Beatrice is the Endless Witch, because she is the witch of endless postponement. She is famous for escaping from closed rooms, and what more closed room could there be than the principle of excluded middle: either a thing is true, or it is false! The world asked Sayo, “Are you a woman or a man?” Sayo said, “I am…” and never spoke again for the rest of eternity, and vanished from the excluded middle in a cloud of golden butterflies. Just as Lambdadelta defeats the seemingly inescapable dichotomy of winning and losing by trying to make the game last forever, Sayo perpetually flees from the psychic amputation of pronouncing themself to be a man or a woman.
Nevertheless, I don’t really have a right to tell people to not propose their theories about Sayo’s gender. That would be to tell them to stop thinking, which is Umineko’s cardinal sin. What I want, ultimately, is someone to say “I love Sayo the woman”, and someone to say “I love Sayo the man”, and someone to say “I love Sayo who is both”, and someone to say “I love Sayo who is neither”, and someone to say “I love Sayo who could never decide that question for themself, so neither will I”. That love is what keeps Sayo, and Umineko, alive for us.