Krr, you're misinterpreting.

A man wearing a Setzer's costume is fine, because a large part of what the costume represents is closely entwined with the subtleties of his sexuality, and the actions/motives he has related to that.

A catgirl or any female wearing the same outfit would come off as a mockery of the same due to the same sexuality not being present. I've posted before, if there's a female equivalent to Setzer in the FF universe, her outfit would suffice, but to the devs, that's not the case. There's no misogyny here, if females get a classy gambler outfit, sweet, but at the cost of cheapening an established character? No thanks.