A: (short version) It will save your knees.
A: (long version)
First, compared to men, women genetically have a larger “Q-angle” and a more anteriorly (or forward) tilted pelvis. The increased Q-angle predisposes them to chronic knee instability and higher risk for ACL injuries due to the angle that the femur ascends to the knee joint. Having a more anteriorly tilted pelvis can lead to more weight being carried in the ball of the foot when compared to the heels and also more strength in the quads than in the glutes. More on this later.
Secondly, women also wear more high heeled shoes. High heels offer a quick way to trick your brain into thinking you’ve been walking down a really steep mountainside all day. Before long, your calves tighten to pull your feet up onto the toes. The pelvis also tends to tilt even more forward in an effort to work more synergistically with the awkward ankle position. The end result is dramatically decreased ankle mobility (dorsiflexion), tight and dysfunctional hips, a weak butt, increased risk for low back pain, and even more knee instability than you may have been born with.
Doing single leg exercises such as this one, can reduce risk for injuries for women in three different ways. First, it awakens the body and exposes it to this knee instability in a safe and controlled manner. Training this exercise will help recruit the muscles in the hips, thighs, and lower legs that previously had not been used adequately and therefor were not working at full capacity. Second, doing this squat as shown creates a more “hip dominant” squat pattern that strengthens precisely the areas many women are weakest; the deep rotators of the hip, the glutes, and the hamstrings. Third, exercises like this performed on a single leg can help decrease the extent of asymmetries in strength or flexibility between the limbs. Asymmetry is a leading cause of non-contact related injuries, second only previous injury at the same joint.