It's never wrong. It's just a game. And part of roleplaying is that you can choose your gender freely.
But wait...Pokemon is more than just a game, it's a way of life! Anyways, I have sometimes played as Marina in Crystal and May in Ruby/Sapphire and I see nothing wrong with that. If you take it too seriously, though, it becomes a matter of ethics, but we're not going to discuss ethics here, are we?