I think that almost through all the human history women were regarded as a fair sex or as a weaker half of the mankind. That changed only recently through the 20th century so that now, men and women are viewed to be equal. However, I think that deep in our subconciousness we are still held back by those very old perceptions that women are weaker than men. So, maybe men are ashamed to admit that they want to experience their female side because by saying it they would admit to a weakness?
O.o Weaker? In what context? Physically? Yes and in fact that's a true statement. But history has plenty of matriarchal societies and females have, historically, always held power in society...in some they were venerated more than men as they were considered indispensable. Common society (common relative to all time) problems have to deal with gender roles.......Just sayin. So I don't think this would have anything to do with anything concerning weakness.
As for men being ashamed? I'd be more inclined to point to the gender expectations and role placed on a guy. It makes sense that some men would feel their masculinity and manhood, a fundamental part of who they are, threatened by a sex change.
As for women being more okay with such, i'd place that more on culture of the times. I'd bet that a woman from history where gender roles were embraced would be just as fearful or maybe even guys would want the sex change given certain societies.
*tilt head* I imagine women have had to get more use to playing as guys in games just as colored people got use to routinely seeing white people in movies? So they might not see playing a different gender that special. On the same hand, when given the option to be a female some guys might see it as an experiment at times to role play and experience a unique view through the game which is generally encouraged in RPGs.