They're all male because they're meant to be warrior monks, and the stereotypical view of monks is an all-male monastery where everyone is being holy without the distraction of the opposite sex. That wouldn't be a distraction to the mentally conditioned Astartes of course, but that's the image they were going for, hence fortress-monasteries and strict schedules of training, prayer and meditation, walking around in robes when not in battle. People often get lost with all the fancy new things the Imperium seem to have and the over-characterisation in some games and books and forget that they're supposed to be holy warrior monks in space.
The place where GW drop the ball is the models for factions which don't have such a theme. All you would really need is different heads (only for when they don't have masks such as helmetless or cadian helmets) and maybe slightly more effeminate legs. The torso difference would hardly be noticeable under the armour (flak armour for example). The Eldar 'female' torsos are just comically huge-chested. I just assume that X number of my Dire Avengers, Fire Dragons, Striking Scorpions, Dark Reapers and so on are female, but you can't tell under the armour.