you'd think that the Doctor especially would default keep calling her that?

Yes, especially the Doctor! I can see Clara continue with Missy as she didn't know her before. But Time Lords must be rather gender blind if they can change sex if they want to and I can't imagine the Doctor ever thinking of the Master other than the Master. And the Master, in turn, are perfectly happy with aliases as long as he needs them but always seemed to relish in reclaiming his name as soon as possible. So Missy ought to, IMO.