Another possibility is that Shirou might go along with it for a while to understand Illya's motives better. He could be thinking that there is a deeper reason behind her actions and by staying with her in this situation, he can figure out what it is and then find a way to resolve the situation without causing more harm or trouble.
Yes, the Beastars manga has come to an end. It left fans with a memorable and impactful conclusion that tied up the various storylines and character developments.
Saber would probably be quite shocked at first. She's used to Shirou as a male, and this sudden change would make her re - evaluate their relationship. Rin might be more intrigued and try to figure out what caused the transformation. Archer would likely be a bit dismissive at first, but then realize that Shirou in this new form still has the same determination. Illya might find it really funny and tease Shirou a lot about it.