I thought the main character in the original Unreal was male? Character gender isn't an issue for me but there *is* a distinction between single/solo-player games vs multiplayer games.
For single player (like Tomb Raider or Metroid), it probably doesn't matter much. If there's a choice, then the ones with advantages in skillset/gameplay or different storyline/experience would be worth playing (Diablo 1's Rogue vs Warrior or Sorcerer; Soul Calibur's female fighters with their unique weapon styles, etc)
For multiplayer, it can make a world of difference. As with single-player mode, the characters with different skills/playstyles/advantages are worth trying (Overwatch, League of Legends, Defense of the Ancients 2, etc). In Unreal Tournament, there are slight variations in character stats. If it's a simple cosmetic change, it doesn't matter to me, and I pick characters I like or designs I like. ***Other players' perception and treatment of you, however, may be affected if you select a female avatar.
From a game dev point of view, they're trying to get players invested in the characters. If the character is well-written and developed, I don't think anyone cares. Guys will love playing the female lead or wish to do well & protect her; likewise for the female players who, in addition, may identify with the lead.
So these biased players won't try games like Bayonetta or the Final Fantasy series? How do they feel about movies? Will they skip Alien/Aliens, Alita, Resident Evil, Star Wars Rogue One, etc. because they have female leads?