I'm not sure that either is harder to train than the other. This is true of all dogs, male or female. it just varies from dog to dog, the difficulty of training. Be sure you know what you get into, many border collies can outsmart their owners and they are a breed that really *needs* a job to do. I'd personally never get one, they're 'too much' for me and my lifestyle.
Female. I have one. She was 12 weeks and could all ready sit and stay. I love training her. Some people say its a horrer to train some dogs. But not with a border collie i think they could train themselves.