They'll be rolling it out to other languages soon (including English (UK)). Until then, it only works if you're in English (US), and it's only visible to people who are also English (US).
Some definite shortcomings - some common labels missing (such as epicene), and the most obvious ones missing, since you can combine, are simply woman & man. I don't think they realise how few people out there are interested in self-identifying as cis.
It's a good first try, though, especially being able to pick'n'mix. I hope they do the same for pronouns too. I already know a number of folk who have used this as a spur to come out to friends on fb. Note that when you change your gender, it doesn't generate a notification - so you can fiddle with it until it's the closest approximation, and
then tell people to go and take a look at your profile

.
Send fb some feedback about anything you'd like on there that's missing - the more they get, the better. Googling "how do I send feedback on facebook" is way quicker than trying to find the link on their site :roll:.
I'm a
Non-Binary Trans* Female on fb now, and actually, that's pretty bloody close - as I've recently come to the conclusion that gender is just a game, so I'm transitioning to female, but I'm not a woman (not within the usual Terms & Conditions, at any rate).