Fate/Prototype has a female protagonist, but it's directed at het girls and not yuri fans.
And @Homura E.N.D I thought it was because an game-based anime is only good if it has a generic self insert with either no personality or a generic personality for the male watches to project themselves onto. /Sarcasm
But seriously, they should use the female protagonist for a change, or even both the male and female as equally important (and give the male an actual personality).