I don’t think Jesus needs religion. I tend to see it as a crutch; better for some to have it than not. And better for some to not, if they use it as a club. It depends on the religion, of course, but I don’t think God himself is that religious. He has no need for it. We do.
I think your original question was why Christ was born a male.
A female couldn’t have done the work he had to do, in the time/space that he had to do it. (Though, according to the way God appears to have willed things, he couldn’t have come here without the help of a willing - receptive - female.)
He came here to do, to exert. Everything in material life boils down to positive and negative poles (or ‘receptive’, for those who don’t like ‘negative’ as a descriptor :-)