I personally find calling people "a female" or "a male" (adjectives used as nouns) to come across as somewhat depersonalizing, as if implying that this were the only significant fact about the person. I would say the same goes for these examples:

• Racial categories: "He is a black" (noun) vs. "he is black" (predicate adjective)
• Nationalities: "He is a Chinese" vs. "he is Chinese"
• Sexual orientations: "He is a gay" vs. "he is gay"

The choice of "female" vs. "woman" (and "male" vs. "man") also seems significant to me. "Female" and "male" sound more clinical and biological — the sort of thing one would expect on a lab report or an autopsy — while "woman" and "man" sound more social or casual. As a male, I have testicles; as a man, I am often expected to be interested in football, porno, and books about war.