Trivia (from real life experience) : My sister said, Tampon(sword) is soft like gel, and diameter like a pinkie fingers, so its safe from tearing hymen. As from first time perspective, its so scary, so that's why pads(shield) are popular. But as comfortable perspective, tampon is more comfortable.
I think it might be most accurate to say Yuu identifies as a TS girl. That is to say, not identifying as a male, female or even trans. But very specifically identifying as a guy who had been turned into a girl. Keep in mind pretty much all of Yuu's activities have revolved around trying to recreate the excitement of their favorite TSF (gender bend) stories.
An interesting irony is that Yuu doesn't seem to realize that in doing so, they're actually perfectly encapsulating the "female" experience. Ask almost any woman you know and she will tell you how much of that experience is "artificial" to begin with, requiring active work to make happen. So in a very roundabout way Yuu is more of a girl than they know despite very much loving the romantic notion of being a guy in a girl's body.