I think the analogy Chappelle made is good, in theory - but falls short on the mind state and ultimately only tells half the story, which I think is what
@4bars was alluding to.
Ultimately what makes walking out at night solo dolo for a woman so scary, is not so much that you have a vagina - that's a very surface level analysis.
It's more about the power dynamics, objectification, and difference in size and strength - they can do whatever they want to you, and ultimately you are likely to be unable to stop them.
It's also key to remember that gay men, trans women and lesbians are at high risk (and in some cases, higher risk than heterosexual women) of being targets for rape and sexual assault too.
Having a vagina/being feminine etc isn't necessarily the differentiating factor here.
Everyone knows that on average heterosexual men are more likely to be the dominant figure in any form of sexual contact due to various factors, that power position is what makes it scary - because he knows that I am unlikely to hold him off and I know it too.
Now if I am carrying cash on me, I know it - but nobody else does, and sure, I may be more vulnerable or alert than I normally would be - but outwardly, i'm not in any more immediate danger than I usually would be.