Chain them:
REPLACE (REPLACE ( [Gender], "Female", "F" ), "Male", "M")
Breaking it down, the inner REPLACE
replaces all instances of "Female" with "F" but does nothing to any other values. The output of that function call ( which should either be "F" or "Male") is then passed to the outer REPLACE
which transforms "Male" to "M". So, you should get "M" or "F" as appropriate.