Mail Merge - changing pronoun according to gender

Depending on the required text, you could use fields coded as:
{IF{MERGEFIELD Gender}= F "her" "his"}
{IF{MERGEFIELD Gender}= F "she" "he"}
{IF{MERGEFIELD Gender}= F "Ms" "Mr"}
or
{IF«Gender»= F "her" "his"}
{IF«Gender»= F "she" "he"}
{IF«Gender»= F "Ms" "Mr"}
Note: The field brace pairs (i.e. '{ }') for the above example are all created in the document itself, via Ctrl-F9 (Cmd-F9 on a Mac); you can't simply type them or copy & paste them from this message. Nor is it practical to add them via any of the standard Word dialogues. Likewise, you can't type or copy & paste the chevrons (i.e. '« »') - they're part of the actual mergefields, which you can insert from the 'Insert Merge Field' dropdown. The spaces represented in the field construction are all required.

If you want the same gender-specific text in multiple locations, you could replicate the field in each location or you could bookmark the first of each type, then cross-reference the bookmark(s) for the others.

The font usually reflects the underlying paragraph Style. If you've overridden that with hard-formatting (not recommended), the font may thus not reflect that used for the rest of the underlying paragraph. You may be able to get the desired results by adding a Charformat switch to each field (e.g. {IF{MERGEFIELD Gender}= F "her" "his" \* Charformat}) and formatting the IF with the desired font attributes.

I doubt macros are the way to go here. Replacing pronouns with fields throughout the document can be done with Find/Replace. For example, supposing you want to replace all instances of 'he' with the field to conditionally display she/he, simply copy the field you want to replicate to the clipboard, then use:
Find = he
with the match case & match whole word options, and:
Replace = ^c