The original soul in a suit of Exarch armour is the dominant one. The current body may be female, but if the original was male then the other notEldar would probably call them 'he'. Similarly, the one calling him 'brother' is probably the brother of the original soul, not the current body.
I too, feel it is a great shame that she seems intent on damaging that lovely chest. Perfect size there, fits in a hand at a 1-to-1 ratio if I'm estimating it about right. Such a shame. Still, all the people who haven't donated for the Ocboober pictures might want to try doing so. It's hard to tell which of the two siblings is in the pictures (especially due to the poses) but still...
Whoa, whoa, whoa! My grammar senses are tingling! :D That eldar is a SHE. Yet, she says, let me quote: "...for the host HIMSELF." Shouldn't she say "herself"? Ooor... Does the bride have a wiener? :D Or am I just a grammarnarcissus? :P :)
Read up on Eldar Exarchs, she is one. The first soul that wore the Exarch armor is the dominant one, imprinting knowledge and other traits onto the next wearer and the ones after that. Since every soul that came before does the same to the ones after it, an Exarch becomes the embodiment of that Shrine, no sexual identification required.
Now the reason why it didn't surprise me, she was female: It's a Banshee, they are mostly/all Female.