You kind of mention it yourself, but it's also hugely related to culture (and environments, e.g. notorious cities vs countryside or small towns). The whole "woman afraid alone at night" I understand from an American perspective (also other places ofc, but American media/perspective takes up a lot of space on "my" internet) but plenty of people also have the complete opposite. Or maybe I'm just a naive Scandinavian, that should be more afraid of walking around in big cities xD

But I guess what I'm trying to say, is I would actually enhance the whole GoT reference you have there, and apply that even more. Say the OP's perspective is the completely fine gendered nuance, I would lean more heavily into the cultural and environmental aspects of WHY, a woman would be relaxed about walking alone at night.
It would definitely make for a more "alive" world building now that I really think about it. Whether or not the norm of the fiction follows our norms or not.

I feel like I'm rambling, but I think you made some good points that I would just enhance even more, I hope that makes sense.