my 2 cents
I believe that there is no problem role playing this. It seems the only problem anyone ever had was with the assumption that the guy being rescued had to be more helpless or weak than the female rescuer.
It would be very easy for any character to rescue a much stronger character. No matter how capable you are, you can be in a situation where you are overwhelmed and captured. Once you are in chains, you aren't very effective. Anyone that could sneak in, free you and maybe hand you a weapon could be your rescuer.
I am not trying to say that it isn't appropriate for the female rescuer to be a much better/stronger fighter. All I am saying is that I see no reason why this situation couldn't be role played by anyone. Each person has their own things that they find attractive/unattractive and they can fit the situation to their own liking.
It was also already mentioned that the female rescuer could rescue the guy from political/social problems instead of physical danger.
I could post my thoughts on gender differences, but that has already been discussed enough and it would only draw more comments that wouldn't really change anyone's opinion. People always ask for evidence, but if the evidence doesn't fit with their ideas, they can usually find reasons to discard it for one reason or another. I do the same thing. I have my own beliefs and things that don't fit with my beliefs I say are from less reliable sources. How many times has science changed its mind on things?