Ok, I'm sorry, I misread the error: it's explaining that the value '8507' in the gender_concept_id column of Person is not found in the table 'concept'. That's actually a really good message even tho I misread it.
It means that your vocabuary tables aren't populated, you need to load them (via download from Athena) before applying those key constraints. Then you'll have all the necessary concepts in the 'concept' table, and the foreign keys should work.
Where there instructions in the synpuf guide that instructed how you load the vocabulary tables?