I also think women are typically more financially conservative/smart when it comes to saving money. I've gathered this from years of working in finance.
I agree with your opinion. 100%. Women are conservative with anything that has to do with risks especially if the said activity is outside their control. I'd say that it can be attributed to the upbringing - most parents are often inclined not to take chances with girls and they end up growing with such mentality. If it involves too much risk or has uncertainty, they wouldn't want to touch it. It's not just in gambling but I've seen this happen in other facet of life like investment, risky ventures, etc.