You are correct. Angels are pure intellects that do not have physical forms and do not reproduce sexually. Indeed, angels do not reproduce at all; God created each of them out of nothing at the dawn of creation. They are numerous, immaterial, and immortal, so they don’t need to reproduce.
Sexual reproduction is something God designed many earthly creatures to do. Others he designed to reproduce asexually (for example, by mitosis). But since he designed angels not to reproduce, he didn’t design them to be male or female.
Angels may appear to have gender in visions or in artwork, but that is just symbolism that makes it easier for us to think about them. If we were being strictly literal they couldn’t be seen in visions or depicted in artwork because, according to their immaterial nature, they have no visible or physical forms at all.
For more reading, see our article “The Science of Angels.”