The bizarre thing is, upon reflection, is that God is often thought of as a He, yet most people agree that it is no great leap for God to be female. Women are, after all the holders of the Procreative power.
Why then, is it so much harder for the Devil to be seen as female? Not some minor succubus or lamia, but the head of the infernal hierarchy?
In truth, it is Evil's greatest trick: the assumption that Evil is the result of male doings. When mother's tell their children "Don't talk to strangers" we envision greasy men in trenchcoats. When the stranger is more like mother than not, we often miss the face of Evil.