Once I read an article about tabletop pen & paper role playing and one point was how players have different approach toward their character they play. Some feel them as extension of themselves, they play themselves despite whatever personality their character should have. Others want and enjoy playing the role, to be another person, and they really try to get into the mind of the character. And the third group was the ones for whom just the PC is just a tool which allows them to participate in the game, the story, and the personality is just some additional rules they have to keep themselves and not to cross. I think in computer gaming the situation is similar.
I don't think playing with a female character is inherently bad, it could be interesting to think about her motivations and the actions she would take (in pen & paper gaming the DM many times has to consider such things), but I dunno how this translates into computer gaming, probably poorly.
I don't wanna take this discussion toward the tranny topic, tho I know that for example on Kohl, there must be a few blokes, who do pick female protagonists for this reason.