"Prince" also implies maleness.
Azura, Meridia, Boethia, Vermina, Melphia, Nocturnal and Namira are all female, yet are all Daedric PRINCES.
This is TES.
Ehh....not exactly. Daedric Princes can choose their form, they really have no gender. It just so happened that they chose a female form. If Azura was so inclined, she(he/it) could change itself(her/him self) into a female.
And to the person you responded to, "Lord" could just be a title of power or position. For example, in the anime Hellsing, the character Integra is reffered to as "Sir" even though she's a she.