I have two hypotheses to explain the gender gap.

1. The effectiveness of the threats is inversely proportional to the tech expertise of the person being threatened. And your typical woman knows less about files, piracy, internet and the likes than your typical man.

If this hypothesis is true, then splitting cohorts based on tech expertise should show a smaller gap between men and women.

2. Society trains women and men to react differently to threat. In simple words: men are expected by society to fight back, while women are expected to passively accept the threat and play along.

If this hypothesis is true, you should be able to see and measure the different answers in other situations that don't involve piracy.

With that said, "perhaps" those anti-piracy messages would be more effective if they didn't rely on bullshit, to the point that sounds a lot like "I expect the viewers of this message to be both tech-illiterate and gullible".