According to me, you feeling comfortable with your therapist is most important. Doesn't matter whether its a he or a she.
However, as you have stated, you thought that the female therapist was better. But since you don't feel comfortable in discussing your sexual problems with her, you sought help from a male therapist.
So answering your first query, its absolutely fine and okay to discuss your sexual issues with a therapist of the opposite gender. But, you need to be comfortable doing so.
In order to get the best of the given situation, I would suggest that you revert back to your female therapist and tell her about this discomfort first. see what she suggests. The second step you could try is if you try opening up to her step by step, you know, like starting with broader topics and then narrowing it down to your case? This will give you ample time to adjust to the idea and your therapist will lead you to a more comfortable situation. And of course, to remember and know that you are not alone, there are a lot of people facing similar or more complicated issues. And whenever, along this therapy, you feel uncomfortable, please let your therapist know then and there. Its very important to be absolutely honest and transparent.
Hope you find your peace soon!
A concerned friend.