There is a cultural aspect to this whole discussion, when you consider that harem romance originated as a subgenre not of shoujo (girls) manga, but shounen (boys) manga. Most dating sim games, and the most historically popular ones including the juggernaut that is Fate/Stay Night (yes, that entire franchise started as a dating sim), have similarly been aimed at guys.
It's hard to say exactly how much is nature and how much is nurture or culture when it comes to preferring action or relationship drama. Typically it does seem that men generally are more aggressive and competitive, while women have more interest in growing and maintaining an often complex network of social and emotional bonds, but there are also cultural factors, like the modern concept of a Romance Novel is largely derived from Jane Austen's Pride and Prejudice, and the reason the romance is the core central conflict is because really a woman's success in that era of English history did pretty much hinge on her landing a good husband who was nice and also well off, so of course the book is about that.
I'm a cis woman who likes to both consume and create action stories, but being both autistic and gay, I've always been a bit of an oddball. I got asked a lot in school why I like "boy's stuff" like Ninja Turtles, Warhammer and videogames. The thing was though, a lot of girls I knew did like these things, just more quietly, like I remember arguments over who got to be Kimberly the Pink Power Ranger in the playground. When I discovered that Fullmetal Alchemist was created by a female comic artist, I was incredibly happy, because damn, that's one of the best shounen manga ever made and the action is excellent. It felt like "oh cool, I'm not the only one!"
When I did a portfolio viewing with Marvel about 10 years ago now, I was told that while they felt my skill level was fine, my art was "too feminine for a mainstream book like Spider-man", and was instead given a sample script for Runaways to draw my pencils to send in. It was a bit disappointing because the script really didn't have a lot of action, and drawing action panels is one of my stronger areas. So.... sometimes it's not that we don't like it, it's that even if we do, we're kind of encouraged not to and kept out, or action things that do get attention from a female audience get cancelled, like Young Justice did.
