GENDER
Your case is already covered in the docs: «If your language does not make a distinction at all, use sentences like "she is female/woman".» "If there are no other advantages from setting your gender than altering these some word forms", as you say, then it is a good thing that it is now clear in the preferences; removing the gender option altogether on a language basis is another issue and you can file a bug about it if you wish; keep in mind that is is probably impossible and that the gender option is used by all sorts of stuff nowadays, like templates on wikis and so on, so it may be hard to find a language where nobody has a use for it.
Where are these docs? Yet, while with Enlgish interface it's clear why I can set my gender, then having "she is woman" option in some other language causes confusion and doesn't explain what these other advantages (not he/she or similar) might be.
The docs are shown next to the definition of the message, don't you see them? If you use the new default interface you may have to scroll a few times on the right-hand box. The advantages are explained by the note below, check Special:Preferences.
I see the content of the qqq-subpages (that documentation?), but I don't find your quote from docs of any of the 5 updated gender related messages. This note confuses too, if I translate it into language where there is no appropriate grammatical gender to use.
Ah, you're right, the docs were eliminated by a local edit. I've restored them now.[1] Thanks for noticing it, I hadn't thought of a conflict. :)
That has to be taken with a grain of salt; grammatical gender can also include lexical gender, which even your language most likely has from what I recall.
Lexical gender as much as I understand is the case for English he/she and that can be taken with a grain of salt. Indeed, there are some rare examples in Estonian too, e.g. equivalents of king and queen are separate words in Estonian (so that the male word isn't used for female person). But I don't choose my gender for MW interface to be addressed or mentioned as a king or queen, isn't it? Or even if I do, that isn't easy to figure out contrary to he/she and other more obvious examples above and that's where the confusion comes from.