First off - that's one awesome friend you have there. Not many of us have someone who's not only okay with transition, but is able to understand it better than the average person - I'd love to have a friend like that
Second - he has a point. From the opposite extreme; it took me a long time to figure out why sex with men felt wrong. I've also been thoroughly confused for much of my life, and have only recently come to realise my body needs fixing. It's taken me another year to realise that it's okay to be physically transsexual, but still hover about the middle of the gender spectrum inside.
Sex is a means of expression. We express our feelings for our partner (whatever they may be), it's an outlet for our own. It may be the way your confusion/conflict is manifesting itself, and if that's the only time you thought about being female, you may have been onto something. But if, like your friend says, you're doing other things like shaving your legs, zapping your facial hair etc., then yeah, it sounds like you need to see someone you can talk this over with. If you can't bring this up with your current therapist, find someone you can.
