Specifically tle Player options:
You can change the player character, but the changes aren't stored. Each time you open the menu dialog, the standard player named "Player" is back, and it's female by default.
Which means you also get the female voice noises during gameplay, when jumping or get hit.

It sounds like user.ini is read only or you dont have the permissions to write to it.

Thank you, but that hasn't been the case.
I managed to solve this now by installing the latest unofficial patch 227i. I suggest gog.com works on getting the permission to host that patch as well, since 226 (the version gog distributes) has still many problems. Thanks!

Still got the female voice though. It's also used in the NaPali AddOn (starting log entry).

I'm sure the developers at oldunreal would have no problem with it being distributed but I suspect the problem will be on epic games end afterall they are the reason why ut99 has never got an equivalent 468 patch (im ignoring utpg patches here because they are sortof separate)

As for the female voice i dunno I suspect I'll always left things as default when I played it.

(1) I've found the only setting that does not save is Show Decals: it will never save. You are entirely correct to note that preferences are not readily saved. Player preferences saved for me when I (a) selected my player preferences, (b) pressed close, (c) closed the Unreal Gold client and then (d) started the client again. It's an awkward process and not at all intuitive, however it worked for me.

(2) The female is the default character, the legitimate protagonist of Unreal. I changed to a male and, when playing Return to Na Pali, the Log Entries used a male voice. I am not certain if there is both a male and female voice for the expansion, changing the voice of the Log Entries based on those settings.

(3) I use Win-7 x64, have installed Unreal Gold as Administrator and did not move the folder or any parts of it (Deus Ex taught me those last two lessons). I play using v226 without any mods, Direct 3D Support, 1600x1024, World Texture Detail on High, Skin Detail on High and Dynamic Lighting set to On.

Hopefully this helps some.