Also, if there were characters with distinctly feminine figures, we'd have the whole are-toys-setting-unrealistic-expectations argument on our hands. Nobody seems to care if the male robots have big mechanical muscles, but methinks if the female robots had more curves then there would be some argument from someone.
Besides that, it would mean the production of new pieces. If a girl Hero could be built on a guy Hero frame, they'd already be making them that way. But I doubt it's worth it to make a new frame and armor for one character. They could separate the team in half so the pieces get distributed pretty well, I guess, but then they're risking more because of the target-audience-mainly-dislikes-girls thing.
All that said, though, if LEGO was marketing solely to BZPower, there would probably be just as many female sets as males and you would be able to tell by looking at them. We don't seem to have a problem with it as a whole, and in fact are in favor of it.
Personally I think the Heroes should have had gender-neutral names like Flametron and Boombox. Because the names are just to make them seem less robotic/intimidating/cold/whatever, no? Make them Transformers. XP