the Queen of England is also a Prince...
There is no Queen of England. It was abolished four hundred years ago.
But Daedra Lords choose their genders - some appear intentionally as hermaphrodites. They can alter themselves biologically and physically, so whether they do actually take on these genders is something that's open for debate. But as for a starting gender, they have none, and it wouldn't matter if they did because they can change it anyway.
Daedra Princes is the phrase used for Daedra that appear as female, as 'prince' is a gender-crossing word.