I definitely prefer female protagonists for a bunch of reasons. Though there are still many male protagonist games I enjoy.
Firstly they tend to be less rapey or if there is rapey stuff then you as the player are not the one committing it. Not to say all male protagonist games are rapey of course but I often find myself uncomfortable with what I have to do to get the lewds I want to see in male protagonist games.
Also the non-rapey sex in male protagonist games often requires long boring grinding while it's often much easier to get to the sex in female protagonist games.
Plus I'm way more likely to actually care about an attractive female character than some dude character. I want to follow what happens to her, how lewd she gets, what she does, how much sex she has, if she gets knocked up, etc rather than keeping a tally of how many chicks some dude who isn't me is banging. I want to follow the story of someone I'm attracted to rather than the story of a dude.
Like maybe it would feel less like watching some other guy have all of the sex if I self-inserted into the male protagonist but that's pretty rare for me, it often feels like the personality just doesn't match up.
And it opens up more possibilities. In a female protagonist game you can have sex with male and female characters and it all involves at least one character I'm attracted to. But in a male protagonist game if there's ever a lesbian scene then by definition it's not involving the protagonist.
As far as roleplaying as a female character goes I've never really had a problem with it. I play a mix of male and female characters in games regardless of whether I can see their ass. Female in Skyrim - male in Oblivion. Female in New Vegas - Male in Fallout 4. Male in Mass Effect - Female in Dragon Age Inquisition.
As far as the "protect" instinct goes - that only kicks in for me with games where I'm explicitly playing as some kind of mind control agent trying to get the girl to do these things against her will. If I'm playing as her then I want to become as lewd as possible as quickly as possible so all the scenes become fun happy sex.