What I (personally) want is for the system, not just the gamesmaster, to just say "no" to the player who wants to create a character that is just as strong as Conan, but with the body of an attractive woman. That is the specific cake you should not both get to eat and have in Sword & Sorcery.
In regular fantasy I have no opinion either way. But in S&S, that's tantamount to the player new to D&D that asks for a mighty warrior that can cast spells too. Sure you can, if you accept that you won't be as good as either (cue the Eowyn example earlier).
Red Sonja though? She's like a level 20 Fighter and a level 20 Wizard in one character. That's fine - for a comic book, where balance and spotlight isn't an issue. For a rpg where more than one character is the hero, nope. You're supposed to have things you don't do well. And I don't mean Sonja might not be the best at healing, or reading, or stealing. Those things are secondary. What bringing up Red Sonja means to me is "I want to be the best at both what a man does and what a woman does."
And in S&S specifically, you're either a man or you are a woman. Not both, unless you compromise. S&S is primal, almost caveman-like in its gender politics.
In other words, I want the following, not just in fluff, but in crunch too:
If you want to wield a huge sword and be best at cleaving Apes, play a hulking mountain of a man. Somebody everyone in the room immediately assumes is a lethal threat. Somebody every woman in the room secretly wants. You can play a lot of other male archetypes as well, but they will always be "lesser" in the fundamental aspect of being a manly man.
If you want to be able to wrap people in power around your little finger, play a voluptuous temptress of a woman. Somebody everyone in the room is dazzled by, but consistently underestimates. Somebody every man (not so) secretly wants. You can play a lot of other female archetypes as well, but they will always be "lesser" in the fundamental aspect of being a womanly woman.