I think Cap being black makes way more sense than Thor being a woman. Thor is the name of a (mythical) person who has been a (mythical) male for 3,000 years. Cap is a persona, so it makes sense for Cap to be the best man (or woman or otherkin or whatever) for the job. I have no skin in the game because I haven't read comic books since I was young, but making Thor a woman seems like pandering to me.
Thor, Son of Odin, is still Thor (the person). Thor is no longer worthy (as depicted in a recent issue of New Avengers) and loses the hammer Mjolnir to Female Thor (who presumably also has a real-name, but I'm not sure what). Thor, 3000 year old Son of Odin still exists, but epithet of Hammer-wielding Avenger changed hands. It's just weird because unlike Tony Stark or Steve Rogers or Bruce Wayne his superhero identity is the same name as his actual name. The superhero Thor is just whomever currently wields the hammer.