It's really worthwhile getting all pet birds DNA sexed (save for the sexually dimorphic ones that you can sex by appearance alone). You really don't want to think your bird is a male and find it dead from egg binding. Plus it's not exactly super expensive to do.
We too thought our Sennie was a female because of nesting behaviors. Turns out he is in fact a male. He just seems to really enjoy doing the male "territorial protecting the nest" thing. It can get quite dicey when he decides my red backpack or red lunch bag are suddenly his nest to protect til the end.
Makes you kind of wonder how the birds identify each other's sexes in the wild. Pheromones???