No, you’re not weird if you play a video game as the opposite sex
This video does a great job of talking about some of the benefits to playing as a character of the opposite sex. I've talked to people who said they felt "weird" playing as someone of the opposite gender, and it's always surprised me that they felt that feeling was a negative one. Don't we play games to try out other identities in a safe space?
Then I realized that I almost always create characters that look like myself: A straight, white, male. I've since played a few games as female characters and, as I'm a huge dork who creates backstories for everyone in a game, so it's been a change of pace to see how things change when I change gender.
Not to mention the fact that this can be the only way for some people to safely experiment with their own sexual identity or orientation. These are video games, and they're here for us to explore and try new things. So why not do so?