Actually, I think that brings up a thing with a lot of these 'trannies,' and it's that it's not so much a sexual identity for them as it is a sort of kink, a fetish. I think what happens with a lot of them is that they somehow get the signals for "this is sexy when a woman does it" and "I'm going to dress up like a woman because it gives me a boner" mixed up during their adolesence. I mean, look how many 'trannies' literally identify as lesbian women trapped in male bodies.
With Phil... well his sexuality is interesting. Disgusting, but interesting. I honestly try to be objective, but Phil goes out of his way to try and shock people by acting like a sexual deviant, for lack of a better term. First he's gay, then intersex, then queer, then trans, then asexual. He's into BDS&M, but not really, and furries, and cosplay, and electric play... It's like as soon as he hears about something new, he has to jump on the bandwagon, but he isn't really into it.
See, the thing about Phil is, he doesn't understand sex. If I had to guess, he's a fairly vanilla heterosexual. He was attracted to Jennifer Lopez after all. Probably still is. And that's fine. But he doesn't understand sex, so all of those feelings normal adults have? They make him uncomfortable. They scare him. Phil likes to play tough, but in reality if he were given the chance for consensual gay sex, or an S&M session, or whatever the hell furries do? He'd just waddle away scared.
Perhaps
@Ravenor has deeper insight, but I think Phil sorts of gets off on the "asexual" lie.