Just for the sake of your players, I'll answer this from the scientific (and not ideological) point of view. Then I'll make a point about it.
Keep in mind, this is over simplified to shit. (Like, massively.) So if your players are really curious about the subject matter, please, by all means--encourage them to look it up themselves!
This also means that, in the oversimplification, some specific details may be lost. So if I end up forgetting something important, remember...
I'll keep it to three points, just to keep it short.
#1: Men are stronk. Like, terrifyingly stronk.
Biological fact of life. Males in our species are stronger than females. This is probably nowhere better expressed than in
weightlifting, where women can't even compete in some of the highest end categories that men can--they simply can't even physically
get there.
Comparing men and women biologically isn't even entirely rational. They're two different entities that, biologically speaking, perform different functions. Men will average 40-60% stronger overall than women in the same weight ranges. Men have greater bone density, meaning their bones are less likely to fracture or break when exposed to stress. The primary male sex hormone stimulates muscle growth, and males possess around 5-20 times as much as females do.
If you put the world's strongest man into a fist fight with the world's strongest woman, it wouldn't be a fight--it would be a one sided slaughter. It wouldn't even be remotely funny--it would be over in under ten seconds. There's a reason they separate men and women in the UFC, and it has nothing to do with weight class. Put a 120 LBS woman against 120 LBS man--if they're of equal skill, the woman is far more likely to take an injury in the form of a fractured or broken bone, the woman will have a lower muscle per pound ratio than the man, and the man will have a greater level of adrenaline and testosterone flowing through his body which helps him to ignore pain.
In a fist fight, women don't beat men through strength. They beat them through cunning, the environment, and weaponry. Preferably, they beat them without ever going into melee combat against them.
#2: Men and Women's brains are basically the same.
They are. Outside of estrogen creating more serotonin receptors in the brain (IE: larger mood swings during periods usually), and the manner in which periods affect chemical balances in women, men and women have near-identical processes in the brains. They are equally intellectually capable, they are equally sufficiently conscious, they are equally emotionally cognitive. The idea that women are somehow more "emotional" than men (outside of serotonin/periods) is backwards absurdity. The parts of the brain that control and manage emotion in women are not somehow "larger" or "less capable" than those of a male. Similarly, male brains do not suddenly sprout a section called "dudebro" that magically makes them into thoughtless dribbling idiots obsessed with tits and cars. These are learned behaviours--not inherent to the genders in question.
Therefore, it should come as a surprise to literally nobody who has a scrap of knowledge about the human brain that you can have feminine men and masculine women, as well as masculine men and feminine women.
That being said, there is a trend of "males are masculine" and "females are feminine" and it's not entirely society. The chemicals that run through our brains (dopamine, serotonin, et cetera)
do affect our behaviours, and the process of puberty affects males and females differently. Males really
do tend to be more aggressive, but it's not because there's a magical male brain out there--it's because some of the side effects of Testosterone are aggression and competitiveness. Which makes biological sense given that males ultimately used to compete for the affections of females back in our far more primitive cave man days. (Hell, a lot of us still do it today--we're just more self aware of why we're doing it.) Women really
do tend to be more compassionate, but, again, that has nothing to do with a magical female brain--it has everything to do with the chemicals that run through them.
Men and Women
are different on a psychological level, but--and I have to emphasize this--
they are not ruled by their nature. They are affected by it, which creates trends, but a man or a woman is
human first, with an identical capacity for consciousness and decision making skills that allow them to accept or reject the norms imposed upon them by the world. In other words? More men will be warriors--but not all men will be. More women will be caregivers--but not all women will be.
#3: Technology is the great equalizer.
Okay, I'm cheating a bit with this one, but just hold on. Back in the medieval era, the biological differences between males and females mattered a lot more than they do today. Reason being is that most jobs were labour jobs--smithing, for example--where strength benefits you. Out on the battlefield, where all other things are equal, the total weight of one force will crush the other. Vikings used to take huge shields and run yelling and charging into opponents, knocking over smaller opponents and then literally beating them to death with their shields if they could feasibly move in for the killing blow with their axes.
You know what beats a 220 LBS yelling blonde haired juggernaut man with an axe and shield, no matter his strength?
A gun.
A gun does.
A gun does not care if its user is a man or a woman. It does not care if they're tall or short. It does not care if they add or subtract 100 pounds from their opponent. So long as the user of the gun is not horribly anemic or horribly overweight, they can use most firearms properly, and kill anyone in front of them.
You know how we used to get messages around? Runners. You know what benefits runners? Having the strength and stamina to move great distances without tiring, as fast as is possible. Again, men beat women at this.
You know how we get messages around now?
I hit a few numbers into a rectangle box of electricity and metal and can contact anyone in the world. I can literally be legless and still have my voice carried wherever I wish it to be, with whomever I wish.
Literally the only thing left in modern society that differentiates men from women in any major way (outside of certain professions) is the fact that in order to produce a new human, you need a male and a female. The male is done in one night. The female has at
least (not counting recovery time afterwards or the initial raising and feeding of the tiny frail baby) nine months.
We still have our defined gender roles and ideals for men and women, and at a basic level, men and women are still biologically different. That being said, those biological differences--outside of perpetuating the species--are essentially irrelevant in the vast majority of professions and hobbies thanks to the modern age and its technology.
-----------------------------------------------
Now for my personal opinion. The one not backed up by science. The message I would generally carry to your role players if nothing else above matters.
Fantasy is whatever you choose to make of it. You can have giant flying reptiles that breath fire, or be in a space ship that can defy all physics that we know of today, or anything in the middle. Gender will only matter as much as you wish it to. Both in the worlds you create, and in the characters you build. It's another subject matter of significant depth and, ultimately, incredible beauty that you can explore of your own volition.
Do what you think is interesting, pursue the stories that you feel most passionate about. If that's a woman beating the odds and kicking a man's ass in a contest of strength, or being a female knight of great renown in the medieval age, or being a male caregiver who raises the children while his wife goes out to war--do whatever you want. Fiction need not conform to reality, it merely need be the light of our dreams, our ideals made manifest by words, shared with others.
Whatever limits you impose upon it, gendered or otherwise, are yours to choose. Be creative with it.