That's the perfect place for him to be. Why would it have mattered had you known that they were of a different sex? If you have only one cave, then your fish are very lucky that they are not both males, or one would have long since gotten beaten up. A good rule of thumb for bristlenoses is one cave per fish + one spare.
Until they can look after themselves.
If you want to raise them in a different tank, now is the perfect time to move them as it will be almost impossible after they hatch. Just lift the whole came out (I usually place a clean iceream tub in the tank, place the cave in that, then lift that out), including the male, and move it to a different tank. As you would not be able to acclimatise them to the new tank, make sure it is filled with water from their existing tank or has identical parameters (especially water hardness).
I would say that it would be moderately dangerous to remove the male to him and quite dangerous to the eggs. Why do you want to remove him at all?
Plecos do not eat their own young; pleco males protect their young. Separating the eggs from the male is more likely to result in the eggs dying because you do not have the experience in removing the eggs and raising them artificially, which is quite difficult, as far as breeding goes. It is also completely unnecessary for bristlenoses, it is only done for species that are likely to abandon their young.
You're thinking along the right lines there
The final decision on whether to raise them in a dedicated tank or in the community tank is for you to make. Keep in mind that from now on, the female(s) can breed as often as once every 4-6 weeks.
Where are the eggs?
