The Wood Elves are led by a couple, Orion when he's awake, and his wife when he's not. The HighElves have the Everqueen, who is the only one who rules by birthright. The Dark Elves have Morathi, and we're not even going to get into the relationship between her and Malekith. Bretons have their damsals, the Ogres have a female Maneater (seriously, bad nomenclature), and both of the Undead armies have a female Special Character. Even the Warriors got in on the deal, and have given Khorne a female consort (I'm sure there's some inappropriate art somewhere. Rule-32 that for me?) in the form of Valkia.
They're there in the game, but they're not exactly prevalent. In most cultures around the world, women were just baby-machines. Terrible, but hey- it's survival. For those who DID fight, it was even more rare to be called to the field to battle. Usually they'd defend the house while the man was out getting kicked around in the field.
War then wasn't the same as it is today. There were defined front-lines, so there wasn't as much need for women to fight. If they stuck around too long during an invasion, it's because they wanted to be run-in by a ton of soldiers.
My Vampires are led by a female. Hell- my vampire fluff is basically a love triangle. Not in the manner of the "Saga"-which-shall-not-be-named, but in the form of: I bit her first, she's mine. Christobel was a mortal, fell in love with Castille who was besieging the castle to save her, until his master Chatould showed up and stole the show. Now she's a vampire, and since Chatould has been gravely wounded and is recovering, she leads his armies for him.
Reaper makes a bunch of very sexy female models, of much better quality than the GW standard fare. Just pick one you like and go from there.