The concept of gender is an odd one to the changeling mind, as most of the changelings either don't have independent thought, or lack a biological gender.
Workers don't have a biological sex, for their lack of reproductive organs. They don't have free will or a concept of identity, much less gender identification.
Soldiers don't have a binary gender, and, though they are the more individualized of the plebeian castes, do not have the concept of gender thrust upon them by any institution of the social order. It is hard to imagine that they ever confront such a thing as gender.
I have referred to queens as "her" in the entirety of this text, but that is merely a result of the changelings referring to their queens that way, and my mind's desire for the creature who once attacked me that looked like a mare to be a female. Queens may or may not identify as female, or they may never think about gender.
Drones are the one caste with what we would consider an unambiguous biological gender. I refer to my associate with male pronouns because he calls himself the queen's son, and refers to all previous drones with masculine pronouns, but my sample size is limited to a single anecdote, so take this with a grain of salt.
I suspect that the changelings only use gendered pronouns as a way of recognizing the upper class and to conform with pony customs so as to mitigate the sudden shock of their prisoners' transition into a new environment.
This all makes the question of orientation rather difficult to say anything meaningful about, but there are memories we have gained access to that at least give us a few generalizations. Drones, the only caste with a universal, unambiguous, biological gender, are all recorded as being omnisexual. Queens will only interact with the drones and workers for the purposes of reproduction, but will make bedmates out of any prisoner they please.
Soldiers can reproduce with anything, but don't mind what their partners identify as. Infiltrators and spies can have children with any non changeling creatures, though spies don't frequently interact with anything of such nature, and infiltrators serve their own role in the reproductive process. Workers only engage in productive sexual interactions with the queens and infiltrators, but can also serve as outlets for developing soldiers and demonstration partners for drones.