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Excellent thank you. Cited on the wiki too - neat.
So I take this as an affirmative to my original suspicion - given they can change form at will, they could be any sex they like today, tomorrow and then be a tree the day after I guess? So they do just use the analog to represent themselves, as their existence is not constrained by such biological limitations like "sex" and they would be even less constrained by societal structures like gender!
Strange, I take the exact opposite reading of that quote: They do each have a gender identity regardless of form (or lack thereof), and can take physical form of their choosing. Yes they can change form (incl outward-presenting sex) -- that is, they have the metaphysical power to do so -- but AFAIK* there are no instances of an ainur choosing a physical form with a sex that is incongruent with their gender identity. I.E., they are always cisgender in the legendarium.
* I feel like there was one instance of someone taking a disguise of another differently-genedered character but I can't recall who it was or if I'm imagining this.
As for societal gender, it absolutely exists in Tolkien's world amongst most of the races/societies that we have exposure to.
* Edited to add some Ainur examples! We started this conversation explictly about Maiar/Valar/Ainur and I went off track to talk about the non-celestial races. Sorry about that.