I’m assuming it’s because there was a discussion in the Gemara about whether or not it was better for man to have been born or to not be born. Ultimately, the consensus was that it would be better off for man to not be born and have to contend with the challenges of this world.
However, despite the inherent difficulties, we have to make the best of the situation and do as many mitzvos as possible. Therefore, men give thanks that they have more obligatory mitzvos than women, and women give thanks that they have more obligatory mitzvos than non-Jews and slaves.
To say “thank you for making me a man” would be to say that being put into a physical body is better than remaining in untainted spiritual form. And while everything Hashem does is truly good, no neshama really wants to come down to this world full of nisyonos. It’s very hard down here. So we bless Him for the opportunity to do the most mitzvos we can, without overplaying the fact that our lives are, in essence, are a difficult challenge for our souls.
These are my knee-jerk thoughts on the topic.