Let's face it, Shion's behaviour is weird and likely to reinforce Masahiko's doubts about her gender, but said behaviour is there because her family was unique - Neither Sora nor Yukari were expecting her to "limit" herself to one gender because of her body, and thus she doesn't have many subconscious reactions that make it easier to identify her as either male or female. But biologically, Shion is a female, and the evidence was here for a long time.
Why (and/or "how")? Think about it, in one of the earlier chapters Masahiko meets Sora's father, who is so bent on referring to people with their biological gender that he refers to Sora by his female name even though Sora does not look like a woman, does not behave like a woman, does not like to be called with that name, and generally speaking is not someone people who are not hell-bent on being "proper" would behave towards this way. And yet the very same man who did that not only is not insulted by Shion wearing feminine clothing, but also proposed ("demanded" is a better word, though) for Masahiko to be wed to Shion, and that means that Shion's biological gender has to be "female"; of course, we can also say she might've decided to change it when she was still young (and thus even if she were biologically male now, her grandfather would still treat her as a female), but that would make no sense for someone like Shion, who does not care what her "gender" is (again, because of her parents being the way they are, she literally has no reason to be taught to perceive people belonging to some gender via the lens of stereotypes and double standards, so she might as well be described as "a genderless spirit within a female body").
- This needs clarification, you forgot to mentioned that Yukari has been sending letters to Sora's parents for years, she could have easily mentioned "hey you "son" gave birth to a baby girl." which would by WHY Sora's father refers to her as female(the fact that she currently identifies as female simply clouds the issue to the reader.) The best proof is that Shion is the only one in the house buying tampons, given that her "father" uses them when "he" gets "his" period irregularly. I doubt Shion would buy tampons if she wasn't biologically female, as her "mother" doesn't bother with it.