It's just a power fantasy, it's so common it's why Shazam and Superman were made, and why they got so popular. It's not bad to have power fantasies, it's imagination, and there's nothing bad about thinking you'd like to respond with bravery, or save other people if you saw them in harms way. It's not wrong thinking to go ''you know if someone came in here to hurt people, I think I'd get in the front and tell other people to run for the back exit, maybe I could stop them''

The only way it's a problem is when you can't recognize that it's you imagining how you might behave, rather than a real thing you did, or a real power set you have, which would be a delusion, or if it's a repeating thought that's disturbing you and you can't stop having it, then it can be a symptom of OCD, but generally, it's perfectly fine to imagine you'd be Superman in a real world situation, that's how you end up with good superhero stories!

As for the gender aspect, I have no idea if it has anything to do with social conditioning or physiological make up, I imagine plenty of women also have imaginative ideas about how they'd help or save people in a real problem situation, after all there are famous examples of women lifting very heavy objects off of children, and saving people in war times, opportating in resistance movements and revolutions, being decorated soldiers, sacrificing their life to save others, There's no lack of heroics from women, I'd assume they also imagine these situations from time to time.