(As opposed to Marty, Gary, Sebastian, or Tom-Dick-or-Harry Sue.)
Well . . .
To begin with, Mary Sue was first identified in the wild in her female form, and therefore her name provides an umbrella term for the whole category. If a reader says of a male character, “He’s just another damned Mary Sue,” a listener familiar with the terminology will have no trouble figuring out exactly what the problem with that character is.
In addition, fanfic, where the term originated, was historically (and still remains) heavily though not exclusively a female activity. It’s one of the few areas of endeavor that I know of where the default pronoun is in fact “she.” The Mary Sues that show up in fanfic are more likely to be female on that account.
Finally, male characters in popular fiction are more or less expected to be larger than life; nothing cultural is transgressed against when that happens. On the other hand, watch out for those sensitive, quiet, intellectual male characters, especially those of artistic bent. When looked at carefully, they often bear an uncanny resemblance to, if not the author, at least the author’s much nicer second cousin.