I think it could be rude or hurtful to ask for a female, but I don't think that it's rude to ask for a specific person who happens to be a female. It may still be discriminatory, but I don't think there is an etiquette requirement *not* to be discriminatory when deciding who you want to give your business to. There is a requirement (or it is wise) to not appear discriminatory.
For example, if someone refuses to eat at RestaurantA only because it's run by a woman, but never tells anyone why they won't eat at RestaurantA it would be gender discrimination. But since no one knows it's discrimination (versus just not liking RestaurantA), it's not really "rude". Obviously when you are in a business position of hiring, different rules apply. But in general as a consumer I don't think anyone can force you to use a specific service for any reason.