[Endrance]

The more or less irrational argument they'll come with will most likely be that it seems to make characters in general have less worth. People should make a character and adhere to them. They shouldn't be able to change their appearnce that much, that's also why many people say that another hairstyle is okay, but a different face would be not (unless it's just decoration such as tattoos). People are refering alot to the real world in that case, as it has a great social aspect (and that's what MMORPGs are the most in the end... or should be at least).
They just think that it "feels" wrong. They want their MMORPG to have a positive mind-effect to them at most. If people can do almost anything they want with their character they just feel like that a part of that pseudo-social feeling gets lost and on top of that, they feel like that if gender change would be a common feature, it just seems weird.
Though that's where I step in and tell them, that this is a game and people shouldn't be forced to remake their character they invested alot of time in just for the appearance. If they feel unhappy about it, they should be able to change it. The argument from above doesn't cover this at all, as I honestly find it more stupid to remake a character just to be able to play another gender than just being able to change it from their current character. If you make a female character and find out after investing alot of time in your char that the female thing isn't yours, you should be able to change it.
I'm also not for a feature that's usable over and over (so people just change cause they're bored), but I don't see a rational reason against being able to do it once (or once per year).