No, no one is under any obligation to use the correct pronouns. However, it's rude not to, disrespectful, and just not kind.
I don't understand why anyone would be rude, disrespectful and mean, just because someone says they want to be referred to a certain way.
I have a friend who's changed her name (she was assigned female at birth) due to personal reasons. I remember to refer to her as 'Tina' rather than 'Sarah' because that's what she's asked me to call her. It's no problem for me. It's what she wants. Should I insist on calling her 'Sarah' as that's what she was called at birth? It's not true she's REALLY called 'Tina' after all...
And yes, 'she was in the female changing rooms (with her penis out)' or 'they were in the female changing rooms (with their penis out)' is correct...
Assuming you know them well enough to know that they use the pronouns 'she', it'd not be wrong to think that someone you don't know, waving their penis around, is male, as I doubt you've asked... So until you know otherwise I'd not blame you for using 'he'...
I really doubt many transwomen would be openly displaying their penis in a female changing room - 1) they'd be well aware of the reaction it'd get and not want to put themselves in that situation and 2) they probably wouldn't want it acknowledged it was there.
Unless they're someone who is trying to provoke controversy. I'm hoping that transwomen who believe that they have a fully female body (penis and all) and should be fully accepted as female, have the common sense to not wave their penis around where it will cause issues. But that would be a small (and vocal) minority within a minority.