I seem to recall reading in one of the "Gender Outlaw" books about an FTM transgender who is a drag queen. Yes, you read that right. He transitioned from female to male, identifies as male, but performs as a drag queen in flamboyant female dress.
So the idea that you still want to dress Lolita (I am very familiar with Japanese culture and am a big, big fan of Hatsune Miku, Clean Tears and Jimmy Thumb P, so I know what you are talking about) is still just fine. It does not mean that you are not FTM transgender. It just means you are keeping the same hobby. After all, you don't want to dress Lolita for everyday, do you?