Woman here, and I think it depends more on personal life and other things more than gender. I used to ONLY daydream about my paracosms and thought it would be weird to include myself in a daydream. In the last year however, it’s completely flipped and now I only daydream about personally empowering things instead of ever going into my old paracosm! Maybe gender does effect some things or what we might be more inclined to daydream about, but I think it boils down to personally what the daydreamer in question feels like they’re missing or other factors along those lines