Something Amyss said:
Games have very specifically had this sort of relationship with women for a long time. Girls are allowed to come along for the ride on the Kratos power fantasy, but it's very clear you're not the target demo.
So all the games that have female leads don't count? If you look at the course of gaming history and look at games driven by women versus driven by men, and you'll actually find very few games in which the female character is just "along for the ride". Most of the time it is because they are minor characters, there to give plot or exposition so that the game can focus on the player experience.
And the problem for the games that do have side characters that are "along for the ride" is that this is done for the sake of the game. You forget, you are telling an interactive story, which means anything you have a side character do is a task you are taking away from the player.
For an easy example of this look at The Order 1886, in this game you are Sir Galahad noble knight of the round table. As you progress through the game you have a female knight companion with you for a good portion of the game. However your AI partners actually end up doing very little of the work, they don't actually kill many (if any) of the bad guys, they don't unlock the doors for you, they essentially do nothing more than provide the player with character development chatter and plot hooks. This is because if the companions actually could do the work of progressing through the level for you, then that's less things you get to do as a player. If you could sit behind cover and let the game win itself for you because the AI companions are so good, then you lose purpose in playing the game.
These aren't films, so characters cannot be developed in the same way.
Call of Duty titles tend to blur this line a little better. Your AI partners will kill bad guys forever, and be pretty good at it too. But because the game requires the PLAYER to push forward, the AI folks are just ineffectual. It looks like they are putting in work, but really they don't matter.
And this goes on an on. Ellie in the Last of Us is the same. The player is the one who needs to get her through the game, because if Ellie could it herself, then the player has no reason to play. Really good games like TLoU will usually give you a section in which you can play as the "tag-along" character, allowing you to be a badass in their shoes for a time.
So what's the solution to this? Sure you could increase the usefulness of the tag-along character, but only so much can be done before you take away from the player which is something no game really should do. You never want the player feeling like the game could get along without them. Elizabeth from Bioshock Infinite, another tag along character that was little more than a tag along that could occasionally toss the player a refill of mana or ammo, or be the players personal portal slave. But again, Elizabeth on paper is a very powerful character and could potentially do everything the player does in Bio:I on her own, in doing so the need for a player is removed.
I also think that games tend to overdo it with female characters when they go for the staring spotlight.
Lara Croft in the new Tomb Raider trilogy for example. You see whenever media wants a badass female character, it is often so overdone that the character looses believably. Lara Croft is a badass who doesn't need anyone's help ever, because she is the ONLY one who can do whatever bullshit the game wants her to do. She has no interpersonal relationships to help the audience relate to her. They made her TOO independent, TOO tough, if that makes any sense in this context. It makes her a bad character because you have nothing to relate on her with. And to further dig her into a hole she has no redeemable personality to help make up for her other lacking relationships. She isn't witty, she isn't funny, she isn't particularly caring, nor does she have any real grand goal for herself, no aspirations, nothing. They made her so tough and so independent, that they forgot to flesh out anything else about her.
But too be fair, most of the male characters have the same problem. Most of the male main characters in games don't really have much to emotional connect with them either. Dante is a douche, Kratos is a mindless brute (in 1-3), WTF even IS Mario, Marcus is a walking murder bot, Issac Clark is a shell, on and on and on.
And Anthem is especially weak on that front. Neither the male or the female characters you can pick are anything but question machines there to make the NPC's tell you random bullshit. Nothing connects you to the person behind the camera.