I can buy men having a heat regulation adaptation that women don't. I don't right now buy that the same adaptation (i.e. surface area:volume via body type) only confers an advantage to men. Unless it's not the case that body type affects temperature regulation enough to make a difference, and the real cause is something else that is also correlated to body type. Honestly I'd always thought that a well-trained athlete has a high-enough power output (~300 W![1]) that even in a cold climate staying warm would not be an issue.

[1] https://www.trainingpeaks.com/blog/power-analysis-2016-ironm...