The issue is known as "Kol Isha", "a woman's voice." See https://en.wikipedia.org/wiki/Tzniut#Female_singing_voice
At face value, the Talmud indicates that a man listening to a women (who's not his wife) sing would be inappropriate.
There are a zillion opinions about the context in which it applies today, and whether it includes "canned" performances (i.e. not live ones).
If this was a live performance, they would say "for women only."
So the question now on their label is: are they saying "it is definitely kosher for a woman to watch this, but men ... your call." (And if you don't think it's an issue, fine, go for it.) Or are they saying that the women who made this do not consent to ever having a man watch it? (Can they do that?) Honestly I'd lean towards the former.