You can't easily gender plural pronouns because the people/things they refer to could be a mixed group.
Gendering singlur pronouns is one way to avoid ambiguity.
Take these sentences:
I met a boy and a girl. They gave me a toy.
If it said "he" or "she" gave me the toy, you would know who specifically gave me the toy. The fact it says "they" likely means they acted together to give me th toy (otherwise I'd have said "he" or "she").
You could dump gendered pronouns and make everyone "they". But then you lose information. Who gave me the toy?.
You could dump pronouns all together, but then you would have to specifically name all the people/groups and use their full names all the time. That's long and complex.
Both pronouns, and semi-specific pronouns (gendered or plural/singular or cased ones or any combo of those) let you push more information in less time. They're a hack, but a very useful one.