Thanks for your question! It’s actually a topic I should probably make a proper post about, isn’t it?
For the most part, I play my Hedwig in times set either before, during, parallel, or completely alternate to the film, thought I would love to explore a verse set after Midnight Radio sometime with one of my lovely Hedwig universe roleplayers. (I’d want to develop her personality post-canon firmly before taking it outside of the fandom. And then there’s still the chance I could get the characterization wrong for the sequel JCM’s been talking about for awhile.)
After the film, my Hedwig switches to identifying as genderfluid/nonbinary. I think she probably still lives as a woman since she has identified as such for long, but there are days where she feels more at home embracing Hansel than Hedwig. (And there’s even some days that she’s neither of them. And others still that she’s both.) I think she probably cuts down on the over-the-top femininity that she displays in the film and in the play, returning to how she dressed when she was with Luther and Tommy because that is her disguise. Her way of hiding what she’s feeling. Her armour. After Midnight Radio, she realizes that she can be herself whether that means embracing Hansel or exhibiting her stage persona.
((I have a bunch of different gifs saved off both of John Cameron Mitchell out of his Hedwig appearances for when/if Hedwig feels like being a glam rock boy instead of a glam rock girl. The time just has not presented itself yet to use them.))
Hedwig’s feelings on gender identity are complicated both by where she’s from and the fact the US is not necessarily the most welcoming environment to her. She’s grown up believing that you can only identify as a girl or boy and then she’s thrust into a situation where she no longer feels male–as she’s missing her penis, and doesn’t truly believe she can be male without it–and isn’t given the chance to present as female as she’d otherwise like to (again because she’s internalized the idea that the genitals make the identity.) Socialist thinking wasn’t huge on LGBT+ education and her crypto homo rockers were how she knew, at least for a little while, she wasn’t broken.
Obviously, she knows that you can be a man and enjoy dressing in feminine clothes and vice versa because of American Forces Radio/TV. David Bowie and Lou Reed were instrumental to her development both as Hedwig and as Hansel. But in her mind, she has to be one or the other, but I don’t think it matters to her which as long as she can do it “right.” As she has become. in her mind. really neither, she has a lot of angst over it, but she’ll never admit it to another soul.
To everyone else, Hedwig presents the front of aggressive femininity, the less secure she feels, the more skin she’ll show, her hair will get bigger, her makeup more outrageous. (See Tear Me Down vs. Exquisite Corpse or any of her current-to-movie timeline scenes vs. her scenes with Tommy, where she feels like she has less reason to hide.)
At the end of Midnight Radio, she is drawn back to a more fully formed version the conclusion she had before her sex change: it doesn’t matter if she’s a man or a woman or both or neither as long as she’s true to herself. (And of course, the new revelation for her that she is her own, or at least can be her own, other half.)