No, it doesn't. It has gender connotation not sexual.
Then why make kids dress as the opposite sex? What does that teach them??
Nothing.
It's just for fun.
It may have been for fun years ago, but not anymore. Many people are getting pretty upset over these things. With all the crap going on about gay & lesbian rights, parents are not so lenient on these things anymore. They're getting tired of it....yes, years ago it was just fun, today it has a whole different meaning. Things change....liberals are usually the first that state that! This is one of the things that have changed....