Region: Middle Earth
In today's world, movies have a tendencies to diverge from the original envisionment of the Author. It happens because of current shifts in mentality of the movie consumers, the target audience for any movie.
You may have seen many a number of recent movies that were partially, if not fully, recasted with female (lead) actors for roles that were male in the original. But also to incorporate other races or minorities, basically be fully or as much politically correct. I am not going to number the dozens of big-name movies of recent years, we all know who they are. Some had big success, some had moderate success, some failed; the reasons why are not necessary to be debated here.
Casting Gandalf as a female falls into that category. Obviously that's just a recasting idea and not something actually thought of to be a real deal. Changing the gender of someone from a printed book / story is not something I personally like or want to see, but there are others that view things with other eyes, and, generally, when it comes to movies, its a fine line between pleasing the genre-watchers, the fans-of-the-book-watchers, the casual-watchers and the politically-correct-watchers. You may lose one viewer here but gain 5 more there, and in the end its all about the money or the good press for the movie companies.
Obviously, that's just a hypothetical discussion.
Later edit: The works of Tolkien are really not so politically-correct, they have enough racism to go around (I talk here mainly about Men, Dwarves and Orcs). And the movies did a great job at making these issues more politically-correct (even the latter Hobbit movies portrayed Dwarves in a more positive manner than the book)