Obviously subjective, but;

• Smaller hitbox
• Better animations
• Many awesome games where the equally awesome protagonist is female (Metroid, Portal, Hellblade, Tomb raider, Horizon, etc)
• If the story is based on the character, it's often more emotionally intelligent
• Usually more agile, fast, stealthy, and has long-range attacks (magic users, snipers, archers, etc)
• Usually has more of a flourish in attacks, so fancier and more graceful

I'm male, 5'7", 150, athletic build. Definitely male in appearance, but I'm not bulky. To your point about "the character looking as much like you as possible", depending on the game, my frame is more similar to the female than the guy who's neck is bigger than my waist.

I like smash-em-ups just fine, but sometimes I want to approach the mechanics as I would in real life, and that's intentionally, and executed with subtlety. A lot of male-focused paths/stories are forced to be blunt force and loud.