What's inherently
feminine about Sasha, though?
Besides which, there is no shortage of nicknames in Russain which do not travel between genders at all - Masha for Maria (f), Alik for Alexey (m), Lyuba for Lyubov (f), Boba for Boris (m)...
It is true to say that very few Russian names actually get used in their full and original form - Russians have a passion for affectionate nicknames. But I wouldn't say there's any kind of gender-related rule there.