It's personal preference as far as the sex of a dog as long as you plan to spay/neuter the pup it doesn't really matter. Potty training (I think) is about the same depending on how "alpha" the yorkie believes itself to be. Both males and females can mark, both make wonderful pets given the proper care and attention by the owner.
A lot of people have a lot of opinions, take them for what they're worth, in most cases they aren't worth the saliva it took to say them out-loud. If you're happy with your little girl, then keep her and give her all the love and attention (and training) she needs/deserves
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