Even if it isn't canon I'll probably opt for the female MC. The anime would only be supplemental. I just don't have the time to do 2 play throughs (self inflicted) as I want to make my way through my backlog of games.
Actually come to think of it, I rarely ever play an RPG twice once I've beaten it. It's a strange habit of mine.
The only things you're missing out on by choosing FeMC are a few Social Links. Let's see...Exclusive to the male MC
Kenji - annoying student with a crush on his teacher.
Kazushi - athletic student stuggling with a knee injury.
Chihiro - student council treasurer with crippling social anxiety. Romance option.
Maya - MMORPG internet pal.
Keisuke - artistic student who is unsure what he wants concentrate on at university.
Yuko - sports manager who is unsure about her future. Romance option.
Mamoru - student-athlete at a rival high school trying to support his family.
Nozomi - selfish, overweight student who is a member of a cult.
Out of all those, my favorite S.Link is Maya, but none of them affect the story in a major way. And most of the above characters appear in some of the new FeMC Social Links anyway. Look, pick the character you want to pick. Like the above posters said, the S.Link content is peripheral and not key to understanding the main story of Persona 3.