You know how when you search the GTS for a Pokémon you've never seen before you can't search for a specific gender? Well then how was this person able to ask for a FEMALE Milotic if its not obtainable or see-able in-game?
You can see one in the game. One of the waiters at Restaurant Le Wow has one in the rotational battles. Possibly in the other battle modes too.
Because he probably obtained a Male Milotic over the GTS and wants a Female one.