In literary reviews, the novel was usually praised, and reviewers accepted the conceit of changing gender. I'll bold the portions of the following excerpts that mention sex.
The English Journal volume 18, number 3, March 1929, features in its regular section "In Brief Review" the following paragraph-long review of Orlando:
Biography in form and fiction in fact is this impressionistic novel of Orlando, the serene baffling personage who began as an Elizabethan nobleman and after an intriguing life of three centuries is at the last a dazzling, beautiful woman of thirty- six. Those who know the tightly meshed mind of Virginia Woolf do not expect to find in her brilliant writing only such quixotic paradox. They will look through the scintillating episodes of her story for poetry of thought and keen asides on the grand parade of Continental life, and the swift revealing touch of satire that mocks the pompous march of time. For this the work is memorable--she denies time by robbing it of its values as she annihilated it in earlier books by intensive and minute examination of a pin point of eternity.
A longer review of both Orlando and Aldous Huxley's Point Counter Point, entitled "Fantasy with a Difference," written by Walter L. Myers and published in The Virginia Quarterly Review, vol. 5, no. 2, April 1929, accepts the changes in gender as a part of the heterogeneity of the work:
At any, rate, heterogeneity and simultaneity are constantly evident in Orlando, more and more insisted upon as the book progresses. Orlando begins "strangely compounded of many humors," to which miscellany is attached an appropriately fantastic assortment of recollections as "memory runs her needle in and out, up and down, hither and thither." "What a phantasmagoria the mind is," exclaims Orlando midway the book, throwing her cheroot out of the window. Symbolic, that cheroot, of a difficult complexity in its smoker, an ideal hermaphroditism that survives in Orlando even during Victorian femaleness. "In every human being," explains Mrs. Woolf, "a vacillation from one sex to the other takes place, and often it is only the clothes that keep the male or female likeness." And within this duality Orlando develops, through the busyness of memory, a multiplicity of selves to dizzy any arithmetic. So much for the modern consciousness of heterogeneity.
Even a more mass market publication like The New York Times accepts the sex change as allegory, though suggesting the book's execution could be clearer, in an Oct. 21, 1928 review (p. 64):
Mrs. Woolf's hero-heroine is hundreds of years old. Orlando is a boy of 16, melancholy, indolent, loving solitude and given to writing poetry; the age is the Elizabethan; the book ends on the 11th of October, 1928, and Orlando is a thoroughly modern matron of 86, who has published a successful book of poems and has evolved a hard-earned philosophy of life. Thus, to express her very modern fourth-dimensional concepts, Mrs. Woolf has fallen back upon one of the most ancient of literary forms, the allegory. In doing so she has left the book perhaps more confused than was strictly necessary.
All of the reviews I found consider this an interesting work that builds off of Woolf's previous publications. The authors of these reviews approach Orlando as innovative in literary technique, as a commentary on modernity, and there is not much commentary on gender or sex in itself.