Is there some reason that North and South are masculine and East and West are feminine? Anyone?
East and West are in origin abstract nouns formed from verbs meaning "to rise" and "to set" -- so, "the rising" and "the setting". And those abstract nouns were formed from a pattern that creates feminine nouns. (ανατέλλω - ανατολή, δύω - δύση)
Can't speak for North and South.
The English word Levant (the lands in the East Mediterranean) also refers to the East, and etymologically means «the rising».
It would be so, just in case someone is asking from another person to look at the sunset. It depends on the contest or the circumstance. Δύση is the direction (West) and the same time the physical phenomenon of sunset. So as it could be a confusion.