It all depends on how you feel about it. If you feel like you would not be able to discuss it, then you should do what is healthiest for you. But a therapist is a professional and should be able to handle any issue relevant to treatment, including sex addiction. So a woman therapist is not inappropriate unless you feel like that would hinder your ability to be honest. I think that, regardless of male or female, asking the therapist whether or not they has any experience dealing with male sex addiction clients would probably be an important question to ask.
I am a veteran of the soul wars.