We always knew that [a female Pinhead] made sense given the history of the franchise and the kinds of fans that have embraced it, Bruckner says. It was also a way for us to not replicate Doug Bradley's incredible, iconic performance. There had been a lot of precedent in the franchise.
While the novella describes the Cenobites as being sexless (their mutilations having made their gender uncertain and their voices being indistinguishable), the movie is far more explicit as to each member's gender, mostly due to the actors playing each character.