I agree with Pleitharchia on this one. Although Delphox was based off a wiard, it does seem more feminine, however if Game Freak went and changed the forms of Delphox they would need to do this with all of the other starters o there would be problems. It would just not be worth it to do so.
There have been cases where one starter had gender differences but the others didn't. Ones that come to mind are Blaziken, Meganium and Venusaur, who have gender differences (in Blaziken's case it even applies to its pre-evo Combusken) yet the other two starters in their respective trios still lacked gender differences while the Sinnoh, Unova and Kalos starters don't have any gender differences.