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The first one is hilarious because you've been able to change your gender at will in the Souls games since the very first Dark Souls. DS1 you use a ring. DS2 you use a coffin. DS3 and everything after you just use the respec system and alter appearance.
"THE NATURE OF YOUR BEING HAS CHANGED."
Though it is weird hearing the dialogue use pronouns for every character but yours. You're still trying to be the Lord of Cinder or the Elden Lord even if you're a lady, but they will say Lady Rennala. Go figure. 🤷🏻♂️
In a lot of systems, Lady is an honorific inherited or gained by marriage, but Lord (or equivalent) indicates the person is the main titleholder.
You'll also see some fiction avoid the title "Empress" for the same reason.