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I would attribute a lot of addictive behavior in men having to hide their feelings and vulnerabilities to stay strong and manly. Notice, how often men not only participate but also bond around many of the activities you've labeled addictive (playing video games, drinking at bars, gambling). Also, many enjoy an adrenaline rush around living on the edge. A lot of these video games simulate those experiences pretty well.
Women have an easier time talking about feelings - for example a woman going through a break up may call up a friend to sit and talk, they may have some wine and ice cream but focus will be on the talking. While men are more likely to go and drink in silence.
Something interesting that I have heard though, not sure if it's actually true, is that female alchoholism is much harder to treat than male, practically impossible. Wonder how true that is.
I'd have to read up on some credible studies that suggest that addiction in general is more prevalent in one sex over the other, before I'd accept the premise of the thread wholesale. I think it's very hard to get truly reflective stats on the prevalence of addiction, because addicts aren't necessarily always known or classified as such. I don't disbelieve it, I've just never studied it.
There are various biological differences, in terms of brain physiology, between men and women. If you study the biological bases of behavior, there is a good deal of research that continues to be done on differences in various areas of the brain, including pleasure receptors, and how they are different and/or change in people with addictions to various things. As others have noted, men and women are in many cases socialized differently, and how they respond to different urges and stressors can vary, which many also play a role.
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