At 33 weeks pregnant, baby's femur measured slightly smaller than the gestational age and everything else was slightly larger. What could this mean?

Normal variation? Size, eg, length estimates by ultrasound can vary due to sonographer difficulty in obtaining measurement, inherent errors in the calculation, or genetic variation--just look at the parents of the baby! in rare cases variations from normal can be due to growth or other problem in the fetus. It is always appropriate to ask those ordering or performing a fetal ultrasound to interpret their findings.