Sorry for the long story but I know how I'd react because I've been in this position. When I was first at work (nearly 20 years ago now) I was given a heads up about a dodgy guy that might "get a bit handsy" and essentially warned not to be alone with him. He was the type of guy who used to enjoy dropping innuendo into conversations with the female interns to embarrass us.
Anyway, I managed to keep my distance, moved on to another role and didn't really think about him until I came back to that office a few years later and discovered that he was now apparently a she. Which, of course, he demonstrated with a bad wig and a penchant for fishnets and knee high leather boots.
I remember one of the older PAs being vocally outraged about it and being caught between agreeing with her and thinking it wasn't the type of thing you should say out loud.
He, obviously, started using the women's toilets and initially I tried to be cool and accepting of it (I was 25 then) but it became clear that he was loitering and was nearly always in the loo whenever I was in there. On occasion I would go into a cubicle when the loos were empty and come out and he'd be at the sinks adjusting his tights or fixing his make-up.
After a few weeks of the classic awkward smile, limited eye contact and quick exit I decided to use the toilets on another floor, which it seemed most of the other women on our floor did. Our self-exclusion worked until Chris turned up in the other toilets saying "oh so this is where you've all been!"
Fortunately at this point, the previously mentioned older PA was told about it and went ballistic in the middle of the office and it ended with a specific toilet for Chris that we all avoided. God knows what would happen now, probably she'd be re-educated, or we all would for the horrific micro-aggression of refusing to share a loo.
So that's how I reacted as a younger woman - froze and fled - even for a guy I knew without doubt was dodgy, I still didn't have the guts to confront him.