Pronanciation : Mholanzi vs holanzi
I have not yet idea what m indicates in front of words. I believe there are words starting with mho- and ho- so they make different sound?
I guess it depends on one's definition of gender (I've never really had it explained that way), but generally, yes, as Max said, Swahili is divided into noun classes whose verb prefixes are fixed (but dependent on the noun), but noun prefixes may or may not follow a uniform convention e.g.
mtu amekuja - watu wamekuja
daktari amekuja - madaktari wamekuja
All people, animals and insects belong in the class 'A/Wa' (this is considered one class), which reflects their verb prefix (see example above), even though the noun prefix is subject to change. For inanimate objects it can get tricky (not meant as a plug, but I briefly skim the different noun classes in one of my tinycards - link in bio)
in the case of 'Mholanzi', the convention for people's nationalities is adding the prefix 'm-' to the word stem, while the language itself will have the prefix 'ki-' (like the word 'Swahili' in Swahili is 'Kiswahili', originating from the Swahili people ('Waswahili', the plural word for 'Mswahili'). For a lot of Asian and European countries, the name of the country itself will have the prefix 'U-' e.g. Mholanzi alizungumza Kiholanzi aliporudi Uholanzi - a/the Dutch person spoke Dutch when he/she returned to the Netherlands (so '-holanzi' is just a word stem)
To add to Max's point, an 'm' that appears with a consonant is a syllable on its own and is stressed, e.g. m-tu
Swahili uses a gender system like in Swedish. However, Bantu languages do it in a different way. Swedish and Russian use suffixes to denote gender (common/neuter and masculine/feminine/neuter respectively). Bantu languages use prefixes to denote gender. Here, holanzi is a root meaning "Dutch" and the prefix m- is affixed to the front to mean "Dutch person".
What's important to remember is that grammatical gender isn't the same as personal gender. This is why Maedchen in German is neuter despite meaning girl and why "bridge" in German is masculine yet is feminine in Greek.
Swahili has around 12-18 gender depending on how you count. The thing is, the "gender" of a Swahili noun is far more inclusive. The m- prefix just means "human person." Its plural, wa-, means "human people." These are considered two separate "genders." Just like German or Russian though, there are plenty of exceptions and semantic differences in the system.
Even though it's a gender system, it can also be called a noun "class" system, but it's all the same thing: a system a organizing nouns semantically. Later on, these prefixes, like m-, will get affixed onto other parts of speech and adjectives and particles to form agreement with a noun, just like Russian.
Actual Swahili speakers can submit words to this website to give you a sense of what Swahili sounds like. So, if you wanna know what something sounds like, just see if it's given here.
To answer your question, yes the m is pronounced. The m- is syllabic, as in it functions as its own syllable. Like, when you eat good af food, you say "mmmmmm"- that's a syllabic m. In Swedish and English, the "n" is often syllabic. In Slavic languages, the "l" and "r" can be syllabic too. So, mholanzi is pronounced "m-ho-la-nzi"