I may be missing something—I wasn't sure what they were so I looked them up and I found the Wikipedia entry, which makes some mention of medieval lore of them being similar to incubi, but nothing about them being able to change sex at will. Alps don't exist in D&D either.
This has been the case since 2e. However in 2e their "True form" was always Female. In 3.5 they could be born either and just switch between, but one or the other is their "true form"