Paul, I don't think its as straight forward as that.
I think yes you should always respect the customers wishes, but i think there is a wider issue here.
Personally i think the thought of single sex anything is divisive..and not helpful in any circumstances. Whether its training or networking meetings...surely there has to be more gain be including all?..not excluding?
From a training point of view it's down to the facilitator to ensure all feel they are listened to and given fair opportunity to contribute. it's their responsibility to create the right environment.
If they don't feel that then the trainer or facilitator hasn't done their job well enough.