Because Origins presented the Qunari as rigid and unyielding on gender and gender roles, and now they are trying to make them look like they accept transgenderism just so the game doesn't offend that group.
Except that Sten's confusion actually makes sense now we know the context and more about the Qun, which we didn't in Origins. In his mind;
Warriors are men. The Warden is a warrior. The Warden therefore is a man.
Priests are women. Leliana is a priest. Leliana is therefore a woman.
But then, when that notion is challenge by the Warden's insistence that she is a woman. Cue internal logic starting to go haywire;
The Warden claims to be a woman. Women cannot be warriors. The Warden cannot be a warrior.
The Warden clearly is a warrior. The Warden cannot be a woman. The Warden is Aqun-Athlok?
The Warden says they do not want to be a man. The Warden wants to be a "woman that fights". The Warden cannot be Aqun-Athlok.
Warriors are men. The Warden is a warrior. The Warden must be a man.
(Parshaara. Bas are confusing.)
We know that Sten's confusion was never about the Warden being a warrior, that part was always accepted. That he followed up that question by asking whether the Warden wanted to be a man, would suggest that the concept of someone being transgendered is not an alien concept to the Qun.
Sten's only confusion was the Warden's insistence about being a woman, something that he could not rationally quantify under the Qun as he understood it. It's a cultural misunderstanding at work, since he doesn't explain the rationale at work and how the Qunari organise themselves into the triumvirate, so that certain genders have associated roles and that under the Qun, women do not fight as warriors but instead as priests.
Sten's an intelligent guy, but he was sent to Ferelden to kick arse, take names and complete the job he was given, not spend all day explaining the complicated inner workings of the Qun to foreigners. The Arishok says pretty much the same in DA2, that it's not his job to explain that stuff.
They're soldiers, not school teachers.