Well, the men tend to include the "old geezer who will be funny and can get voted off first" so that's one reason to put them in the first week, maybe a female celebrity would find it more humiliating to be the first evictee.
On the same note maybe the ladies' agents have managed to wangle this contractually so that the ladies have an extra week of practice before they have to perform live and are therefore a tiny bit less likely to embarrass themselves (possibly worse for a woman than a man, some people think that all women should have some natural dancing ability: these people haven't met Kate Garraway).
Also I would presume that more of the Strictly viewers are female so they might be more interested to see the male celebrities?
Then think of the husbands, boyfriends, male friends, etc. who are coerced into watching it. If they get to see men the first week then they also get to see the female professionals (e.g. Ola in the catsuit!) and perhaps don't mind being "forced" to watch it so much after all!
Lastly my own preference to have the men first is that the women are a bit more exciting so they've been saved up to keep us waiting for another week...
xx