I didn’t look it up. I have always thought that fey was shy and retiring. Very “weak” personality if you like. Not explicitly homosexual or effeminate - but appearing that way.
To me I was thinking Michael Jackson before anyone else brought up the name, and think that Edward Scissorhands also fits.
I had occasion to use it a while ago, actually. I was talking about Patrick Rothfuss’s The Name Of The Wind, and “fey” was the best adjective I could think of to describe Denna.
Without looking at anything else, including the rest of the thread…
In my head, fey would be strange/wild with a tint of otherworldly/eldritch. Maybe some sense of impending doom? Connotative of faeries (not the cute little Tinkerbell kind). May suggest gay, but not necessarily.