I only really gave the Despair demon a female pronoun because the shrieking reminds me of banshees, both of the ME3 variety and of Irish folklore (the latter also tends to be shown in black, hooded cloaks like Despair is), both of which tend to traditionally be viewed as female.
But that's just my opinion. I see nothing physically that denotes female and I don't think the game specifically states either way. Of course, all demons are probably "its", if you want to be technical, but I tend to anthropomorphize most things. Same reason while some call Justice an "it" because it's a spirit, I call it "him" because of the voice actor/general feeling of character portrayal and same reason why I can't bring myself to call Legion in ME an "it" when technically that's what an AI-controlled robot is. *shrugs*