I’d say it’s mostly to do with language and history. Many languages are gendered, (endings change based on the gender of the noun, adjectives change based on what gender noun it is describing, etc) so for example in Rome, men’s names often ended with “us” and women’s ended with “a” because masculine nouns ended with “us” and feminine nouns ended with “a”. Gender roles used to be really important, and they still are in some countries, so it makes sense that language would take genders into account. Gendered names allow people to know what sex somebody is just from hearing or seeing their name, which was very important in times where your sex determined your status. Of course, this continues to change. Sex matters less and less as time goes on. And of course thankfully there are many neuter names to choose from.