Androgyny was the absence of genders. Androgynous species had uniform and identical sexual characteristics and functions for the creation of offspring. Although simpler lifeforms, like amoebae, simply divided their genetic material to procreate, more advanced lifeforms like Xindi-Insectoids were genderless and reproduced asexually (ENT: "Hatchery").
The J'naii reproduced by recombining the genetic material of two individuals, but without assigning either of them a gender role in the sexual process. They had evolved to become this way from a two-sex state (TNG: "The Outcast").
Even though Morn and members of his species have been referred to as males and females in subsequent episodes, it is possible the androgyny in his race is that of gender identity. It is also possible Odo was making a joke at Morn's expense, though given Odo's apparent lack of a sense of humor, he might have been serious. Another explanation could be that Odo was going to say what he said anyway but was simply distracted by Morn passing by, or that Odo was simply mistaken about Morn's sex.
In "The Crossing", when Malcolm Reed was taken over by non-corporeal "wisps," he reminded a crewman that she was a female, and later told T'Pol that she was female, and that he wished to mate with her, suggesting that the concept of gender was unfamiliar to them.