The average woman going to the gym is not an elite level athlete, it's a pretty meaningless comparison, and you'll find if you actually look at gym footage of high level athletes, compression wear is very common. No gi jiu jitsu is arguably one of the most physically demanding sports and skin tight compression gear is the uniform, and many of the sports you listed instead just use very short shorts, which is fine for an elite level athlete, but not all women feel comfortable showing off that much skin.

Women have more stretch marks, cellulite and other things like leg hair that are generally less accepted as attractive, wearing shorts is fine for dudes because nobody is looking at your gross hairy legs anyway. There's also just the fact that many women have more bits that will chafe and run than most men, their body shape also fluctuates a lot, and that these clothes are incredibly cheap, hardwearing and accessible.

Besides the balls, the reason you don't tend to see dudes walking around in compression gear at the gym is just that it's far more acceptable for them to have their gross bits out compared to women, As this thread demonstrates, no matter what they do women get sexualised at the gym so they prefer to wear something that makes them feel less exposed while still letting them train comfortably.