She has a point. While you can list games that have female protagonists, that's a very short list when you compare it to the list of games with male protagonists. The last generation especially has seen very little in the way of female protagonists that are not ridiculously sexualized and whose primary purpose is to titillate a straight male audience.
Additionally, a number of developers have been starting to come out with stories that indicate a rather deep level of sexism in the game industry. Many publishers are hesitant to develop games with a female protagonist because they believe they don't sell well. However, this attitude means they market them less, which means they sell less, creating a vicious self-fulfilling prophecy. Also, Ken Levine of Irrational Games revealed that they were pressured to leave the protagonist Elizabeth off the cover of Infinite (despite it really being HER story) because focus groups showed a cover with just the male protagonist Booker DeWitt was more appealing. Naughty Dog then said they had to really fight to get their female protagonist on the cover of their game, The Last of Us, for the same reason.
However, I'd argue that her complaint is more indicative of a larger problem in both Microsoft's presser and AAA game development at large: an ever-increasing level of homogenization. From brown-grey 'gritty' color palettes to very similar-looking grizzled male protagonists with dark hair and facial scruff, the big-budget games are all starting to look alike as they chase that Call of Duty money (which they won't get, because a lot of those players only play CoD and nothing else). As AAA development becomes more and more expensive, these games are pressured to play it increasingly safe, sticking to focus group results and copying what best-selling games are doing. The lack of strong, female protagonists in these games is one symptom of this homogenization.
Coincidentally, it's why I've been increasingly shying away from AAA games, especially on consoles. There is less and less that interests me as these games become increasingly more like a game I don't enjoy playing and feature characters I don't relate to.