You need an up to date tagset. That will give you what you want.
I know you know the url...
http://support.sas.com/rnd/base/topics/odsmarkup/
If you still are not happy you can create your own way of auto naming
by over riding the worksheet_label event. That event's only purpose
is to create the sheet name.
define tagset tagsets.excel;
parent = tagsets.excelxp;
define event worksheet_label;
.....
end;
end;
But the current tagset and probably any tagset created in the last few months will name the worksheet Sex=F and Sex=M.
But it only does that if the sheet_interval is bygroup. Maybe that naming
scheme is wrong. I'm not sure. I just tried to guess at what made sense.