I'm assuming the question is aimed at males. In games with gender-locked movesets like fightan games or hero shooters, it's perfectly acceptable, not even worth thinking twice about (playing Overwatch or Valorant makes you a tranny regardless of your preferred character's gender). In a game with a character creator where the content is universal (like an MMO), that's where it can get suspicious. I personally think it's fine, even if it's your first character, even if the male characters are non-retarded.
But it does raise a yellow flag if it's habitual. If you have a streak of first-timing games as a female character, or if you have an aversion to playing male characters, I'm not going to think "this guy sure does appreciate the female form", I'm going to think you find yourself most naturally represented by it.