Is “Who is he?” ok when we don’t know the sex?
Preferably, no. This is a case in which "Who is that?" is entirely acceptable, because the use of "that" reflects the uncertainty of the question itself. "He" is too specific; it offers a part of the answer you are seeking.
Maybe not. I am not a native English-speaker, but I would say, “Who is that person?” instead of he. He is supposed to be a “guy”.