I grew up reading a variety of genres where one or more (usually female) characters took on a name more commonly associated with the other gender: school stories, young detective stories, pony club stories, historical adventure stories. At school I read the classics of English literature, and learned that in the past female authors commonly adopted 'male' pen-names. Later I learned that some authors in mainstream publishing still do, or use only their initials, so that their gender may be assumed appropriate to the genre they write in. Some authors are actually more than one person, or so I've heard.
Not only that, but the more people I meet, the more I learn not to second-guess anything about someone based purely on their name. Plenty of names that are commonly used by one gender in one culture, may be used exclusively by a different gender in another culture. Meeting someone from a particular culture who presents and/or identifies as one gender does not always mean that the next person from that culture and with that name will be of the same gender as the first.
Not to mention the number of English language names that can be shortened to a common, gender-ambiguous form. Is this Alex an Alexander or an Alexandrea? What if the spelling is 'Alix'? Is Julian or Julia more likely to shorten to Jules or Joolz? Is George the full name, or a shortening of Georgina/Georgiana? Does it matter?
Choosing a pen-name involves at least as much thought as choosing the title of a book, and both may be subject to editorial revision. Equally I'm not certain it matters as much to the majority of readers as some of those commenters seem to think. I've read and enjoyed romances that I suspect were written by male authors under ambiguous pen-names, but finding out whether I was right or wrong is something I'd take as a reflection on myself and my assumptions rather than on the author.
As for me? Am I Stevie as in Stevie Nicks or as in Stevie Ray Vaughn? Do I present as one, but identify more closely with the other or with both/neither? Admittedly I spent my late teens and early twenties trying to copy the hairstyle of Steve James from the Dogs D'Amour (the girly one of the four), but these days I'm favouring short and spikey. Then again, perhaps if I had a fixed and constant gender identity, I'd understand what all the fuss is about.