[yoacusna]

On the subject of sex-based game-mechanical benefit and penalties, I think it's generally undesirable. It's not that there don't exist genuine physical differences (on average, mind you, but it's averages that games are trying to model by providing, say, racial bonuses and penalties), but rather that people as a general rule tend to prefer playing characters of their own sex (substantially more than they prefer playing characters of their own race, even when the races on offer bear some relation to those in the real world, which isn't often the case). Consequently, providing game-mechanical differences is liable to unfairly penalise some players (as opposed to characters) at the expense of others.
Giving women a dexterity bonus seems distinctly odd. Evidence suggests that women tend to slightly less agile than men. Endurance would, as has been mentioned, make rather more sense.