It seems more like a recording of folklore or common public perception, given the use of "Some say", as opposed to the Pokedex definitively stating so.
Although, isn't there also lore that Zacian & Zamazenta had been dormant so long people had forgotten they existed? How old is this folklore?
Also,
https://bulbapedia.bulbagarden.net/wiki/Gender "however, some species of Pokémon have unknown gender (Japanese:
õ©ìµÿÄ unknow)."
Supposing that's the term used in the games (In instances where gender is referred to, presumably.), then it should be noted that the term for "Unknown" gender is closer in meaning to "uncertain" than "nonexistent".
Also, the majority of Legendary Pokemon, Baby Pokemon & Ultra Beasts are in the "Undiscovered" Egg Group.
In other words, just because these creatures haven't been observed reproducing, nor had their means of reproduction (anatomical or otherwise) discovered doesn't mean they don't do so.
If we're including the anime's details, the anime having multiple Legendaries would support reproduction via as of yet undiscovered means.
So it's possible Zacian IS female, either on the basis of the folklore calling it an older sister to another being, or the possibility of further research supporting it, given its "Unknown" sex and "Undiscovered" Egg Group.
Or it has whatever weird characteristics that show it to be male/hermaphrodite/asexual/whatever for its species that have been yet to be identified.
