Personally, I don't think His Holiness made a sexist remark. I think the remark has been taken out of context. Firstly, for a Buddhist monk to wish to be born female is proof that he is not biased against the opposite sex! In Buddhism, one is traditionally encouraged to wish to be reborn as a male but of course this has become outdated in modern times, and the Dalai Lama himself is open-minded about this. We do not have the power to see into the future nor the wisdom to understand why His Holiness has such a wish so we should not make any judgements.
People do take rebirths sometimes as males and sometimes in female form. Here is an account given by Jetsunma Tenzin Palmo who received information about her previous lives from her guru Khamtrul Rinpoche:
"I think I had been a monk for many lifetimes and that my relationship with Khamtrul Rinpoche started a long time ago. That's why when we met again it was a matter of taking up where we left off. I think I was his attendant monk, or something like that."
"Khamtrul Rinpoche did say that we had been very close for many lifetimes. He also commented that because this time I had taken female form far away from him in the West it had been difficult for us to be together but that in spite of this he'd always held me in his heart."
Later, more specific information of her past lives was revealed. Tenzin Palmo suspected that in one lifetime she had been a yogi, very close to the sixth Khamtrul Rinpoche, who lived earlier this century. (From Vicki Mackenzie, "Cave in the Snow")
In this lifetime, as a woman, Jetsunma has benefited many people, especially women. And I must say she is very "attractive"!
I wouldn't be surprised if H.H. the Dalai Lama came back in female form. He must have his reasons. And it would help if the reincarnation is "attractive", endowed with all the good qualities of body, speech and mind, and is able to attract sentient beings to the Dharma, for that would be the main objective.