My poorly-founded speculation: Girls may be more likely to try to solve problems with help from fellow humans. This help is unlikely to be available in a controlled study. (It's also frowned upon or unavailable in a number of academic or professional contexts.) Controlled studies are, however, likely to have humans present, blocking the bits that step up and say "okay, I'm doing this by myself now".
That's a curious hypothesis. The corollary of the "males are incapable of asking for directions" stereotype could be the stereotype "females are incapable of navigating without asking for directions".
The Trouble with Bright Girls (article @ the Huffington Post)
Excerpt:
The topic of this article seems to relate to several common Less Wrong issues: the nature of human intelligence, and the gender imbalance among LW readers.
I'm not sure how much credence I give to the proposed explanation of the difference in mindsets. It may well have to do with socialization and feedback, but the specific description of feedback that is presented seems a bit too much of a "just-so story" to me. The difference itself is fascinating, though, and I hope more is done to further our understanding of it.