There are some animals that come close to having what we'd call gender roles: bonobos, some other primates (not all), and a bird called a ruff. But as far as we can tell, those animals don't have an internal "I am X gender" self concept.
(Interesting note: bonobos are very fluid and change their gender roles depending on the situation and context.)
I'm not sure what you're getting at here, you seem to be repeating my point that humans are the only animals we know of with genders. Am I misunderstanding?
(Interesting note: bonobos are very fluid and change their gender roles depending on the situation and context.)