The answer is pretty simple. They've evolved to depend on men to take care of violent, scary situations- so when one presents itself to a woman, she shrieks.
The sound of a woman screaming hits the male brain in a strange way. It provokes action out of men. Men will come running to the sound of a woman or child in distress. It's the only way a woman can help to mitigate a situation by summoning men to deal with it.
You can see a modified version of this behavior with female police officers. When female police officers are failing at subduing a suspect, they're constantly on the radio calling for a man to come and deal with the suspect. Even training can't push this instinct to call for male assistance out of them.
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