There are a lot of potential explanations. In essence they built a model to categorize brain features into male and female, and then tested this against their label of male or female on each brain. So this could result from problems with the model predictions—or just as easily from their “correct” labeling of each brain as male or female.
So a big question is how did they define male and female? By genetics? By reproductive anatomy? By self reported identity? This information was not in the article. All of these things are very likely correlated with things happening in the brain, but probably not perfectly. It’s worth noting that many definitions of sex do not consider gender identity at all—if such a definition was used, then a trans-man might be labeled female in their data, whether they have reckoned with their identity or not.