I guess it depends on a lot. At some point I started to pass and was living life as a woman. People started to have a hard time believing I could be trans or that I could be the same person as my deadname. At that point, having a male gender marker on my ID was a liability and a problem - it was going to create issues, people would maybe think it was a stolen ID, etc.
So I would say you should take seriously the need to update your name and documents - and update as many as you can.
Here's a resource that might be helpful:
https://transequality.org/resources/name-and-gender-marker-change-101
I lived in one of the most anti-trans states in the U.S. when I transitioned. I was still able to file a name change petition in the courts, went to a hearing and answered some simple questions (basically whether I was changing my name to avoid creditors or debt, whether I had a criminal record, etc.), then once I had the court order, I went through the process of updating my name and gender marker on my documents. I think I actually started with my passport, I simply renewed it and back then you could just select any gender marker.
Once I had the passport it was easier to update all the other documents, often the passport with my legal name and gender was accepted as proof.