This is a corollary to the fact that males are better with spatial concepts.
As a woman I cannot say I have really observed this with directions for sure.
I do not have any problems. Rarely any troubles with my actual SENSE of direction. But then, I am an unusual woman, so maybe not a good data point.
There are reasons men are better fighter pilots, race car drivers and also better at sports, which is related our spatial concepts. Men are instinctively able to determine speed, distance and vector of another object while also taking into account our own spatial motion. It’s how a centerfielder can track a fly ball, a quarterback can scramble out of the pocket and hit a receiver 30 yards downfield between the cornerback and safety, and a Formula 1 driver can determine in fraction of a second whether he can make a pass or not. Men had to do develop these skills to hunt game. If you could do this, you ate, you lived, you reproduced.
If you couldn’t do this, sooner or later you were lion poo.