I didn't even know they made women's versions of headbands! Where I live, they are mostly worn by girls. But even my eight-year-old daughter finds them uncomfortably tight, although it must be said that she has an especially gigantic noggin. (Look at the HEID on that kid! It's got its own weather system!).
I think some people must be more sensitive to pressure against the sides of their heads than others. I remember wearing them as a child, and they were always super uncomfortable and I'd take them off halfway through the day. And leave them at school somewhere, probably. Eventually my mother gave up and stuck with braids and ponytails.