There are a lot of cichlids from Lake Malawi. Sexing some is nearly impossible, while others are sexually dimorphic (males and females are different colors). If one is holding for sure, then its a pretty safe bet that one is a female. Do you know the species? Knowing that will help us tell you how to sex them.
Swimming in circles and flashing at each other can be signs of spawning or aggression. If you watched them behaving this way, did you see one scoop down and pick anything up off the sand with her mouth? Generally if they are holding, they will not eat, but may still swim up to food and look at it. I have had a few female mouthbrooders eat in the first few days of holding, however.
Are these the only two in the tank? If it was aggression, they have probably established their pecking order, and the "protective" following around could be the dominant fish keeping the other in line. With just two fish in the tank, the submissive fish will not eat as much out of fear of getting attacked.
If one is for sure a holding female, I would remove it into a 10 gal tank of her own. She will keep getting harassed, especially if she is the only female in the tank. Give her a few places to hide, and in a few weeks you will have some fry!