My Employer Immediately Changed My Sex In The Payroll System Right After 1/20.

I am a transgender adult who's had all my federal and state legal documents (SS card, birth certificate, passport, driver license, etc) updated to reflect my current name/sex. Most of these were done around 2017, I think. So, legally, I am the sex I say I am, and have been for years. (It is a binary sex, not "X".) I medically transitioned a long time ago and nobody I've met in the last 10-ish years knows that I'm trans unless they run a background check (e.g. an employer).

I live in NY (not NYC) and work remotely for a small company based in a Southern state with 0 legal protections for LGBT people. I do not know how many employees the company has (unclear if different "locations" with different names are separate legal entities, and a lot of contractors), but it is under ~40.

We have an online payroll portal for entering hours and accessing our paychecks and tax documents. On Tuesday, I noticed that my sex was changed in the system (to the sex I was assigned at birth, which is not my legal sex). My personal information also used to all be editable, but that permission for this specific section was removed at the exact same time for some reason (all my other info is current and accurate).

Given the cultural climate in this company and the fact that this seems to have been manually changed at a seemingly random time, I can only assume they just found out I'm trans (I'm guessing by reviewing my background check from when I was first hired; they could have just been looking through my records since I recently got a promotion and they had to adjust my title, pay, etc in the system in the last couple months, and/or doing tax season stuff and organizing employee files or something).

I have a few questions: (1) is there anything illegal about this action in itself (I'm assuming not outright, but is it illegal if by changing this in payroll they end up providing legally incorrect ID information to insurance companies or the IRS)? (2) Is it possible they somehow had to do this (or reasonably believed they did) because of the executive order? (3) Most importantly, if I'm about to get fired since they discovered I'm trans, is that possibly legal since there are no protections for LGBT people in my employer's state? Would I have any recourse aside from collecting unemployment if it's not legal? (I'm also pretty concerned about problems this might cause with my health/disability/life insurance through my employer, or with my taxes, if they're changing my official records that might be how they automate those communications, so advice about that would be great too.)

Is there anything you suggest I do? (For those who suggest just "talking to HR," the HR department is two people (one rep and their assistant), and they are the only ones who could have manually made this change.)