Did they record overt threats as opposed to stereotyped? As a little girl competing against boys in spelling bees and other academic competitions, I'm sure that there were stereotyped threats, but I was at the time too young (and too antisocial w/regard to peer group influence and too prideful) to regard them. But actual threats from the boys I competed against managed to be effective to back me down from beating them. Like boxing, there's a huge psychological component, which children may not be wholly prepared to combat.
That women of lose more than expected when they play against men of equivalent rating is entirely consistent with regression towards the mean [1].
Because elo ratings contain error and men are on average better at chess [2], the average true value that elo ratings are trying to measure will be lower for women than men at equivalent elo ratings.
It's not a male/female split. It's an open-to-all/open-to-just-women split.
It might look like there are separate male and female things unless you look closely, because not many women play. It's easy to miss them. For instance, on the top 100 list, there is only one woman, Judit Polgár, down around #50. She has been as high as #8.
I believe that the usual argument for women-only tournaments is the same as the argument for women-only hackathons or women-only coding boot camps. Like programming, chess is a de facto male activity, and so women can feel uncomfortable participating. A woman-only tournament gives them a chance to play without hang to deal with being part of a tiny minority.
Girls play chess??? News to me. Never saw a girl at chess club in high school or college. Never saw a girl playing chess in the park. Never saw a girl at my local library's weekly chess night either.