In Fate, why do some male historical figures get turned into females, but not vice versa?
The in-universe explanation for this is that these characters WERE female in history, it's just that the legends that became their legacy portrayed them as male.
In the case of Saber she was seen as a young boy whose ageing was halted when 'he' pulled the sword from the stone.
(Her full story is up on the F/SN wiki, some parts of it are pretty ridiculous though)

With Saber being the flagship Heroic Spirit of the Fate universe her backstory is by far the most elaborate and fleshed out, but it is assumed that other supposed-to-be-male characters have similar backstories/explanations.
One notable exception / edge case is Astolfo (The Rider for the Black team in Fate/Apocrypha) who is supposed to be male in the Fate universe as well, but just looks feminine, even though the wikis insist that this is androgynous: