I think good sci-fi is more concerned with presenting the questions than giving satisfying answers to them, and Black Mirror is no different. The fact that you’re asking these followup questions means that the art succeeded. Charlie Brooker is probably the only one who can answer them, but we can ponder them or debate them in the meantime.
So, I think the beings he created are unique and the only sentient ones in the universe at the time the episode ends. I don’t think there’s anything that implies that the guy’s DNA reader is a part of the game his company makes – it’s just some device he invented that builds sentient AI from a DNA sample. I also think there’s nothing (other than the platform) that implies the game is any different from the MMO’s of today – shared universe, NPC’s, quests, monsters, and so on. The NPC’s aren’t sentient because they weren’t created with the DNA reader.
This is also reinforced by the overall theme of a Star Trek-like exploration game – at the end of the episode, the crew is made up of the first sentient AI’s, striking out into the universe and embarking on a journey of discovery.
Why do they have genitals in the connected world? Because that’s how the character models were configured, I guess. I’m sure there are a lot of games (well, probably a lot more before people figured out how to datamine them) where the characters are anatomically correct under the hood. But it’s important to show that the offline characters DON’T have them because of how it recontextualizes Daly – the first place your mind goes when he gamifies the girl is that he’s going to do some pervy stuff. Except, no, he can’t, because they don’t have genitals. So it’s an important (or at least interesting) piece of characterization to show that Daly’s obsession with the show is… pure? Childlike?
They’re interesting questions either way – I think it’s a mark of good sci-fi that it keeps you interested in the world after the episode is over.