On the other hand, I can see how sex discrimination could just end up annoying. Spend 6 hours generating a world only to find everything much harder to do if you want to play your favorite female characters (or male if they're being discriminated against).
'Don't go out at night! There's a curfew'.
'I killed some bandits!' > 'Did you get your husband's permission first?'
Etc...
I don't know about others, but I find your example applied in game fascinating and likable. I don't believe this kind of detail would ever be applied though.
Imagine, you have to get things done, but people's first reaction is - no you can't because you are male elf or something. You can't hold position in court, you can't join the guild.
Now you have to find another ways, maybe get all male elves together and start some kind of opposition or revolutionary movement. Maybe you have to look around for a rumors about people who secretly deal with your kind and collaborate with them.
I call this kind of thing dys-empowerment fantasy. You have to start from lowest of the buttom. You have practically no rights and no hope. But coming out from this situation is actually much more satisfying in the end, because of perceived hopelessness in the beginning.
This kind of dys-empowerment fantasy is something I see lacking in modern games and it is unfortunate because always being empowered doesn't allow us to explore existential angst and insecurity in gaming situations.
I don't want those godly superpowers or divine rights. Sometimes I want my story narrative to emerge from complete melancholy and desperation.
EDIT: Another positive things that come with prejudices are possible cool political machinations. For example, in Byzantium it was common practice to mutilate people, because ruler had to represent gods image. That's why person with imperfect body was never seen as a threat to the throne.
Now this could open up some interesting potential narratives. Some character is mutilated, but still wants to claim the throne. Now you have 3 ways - hide your disability that carries cultural stigma, try to fix yourself or try to change prejudicial attitude. Maybe make it illegal for example.
On the other hand, you can also try to create new prejudices that try undermine your political opponents. If your rival is ginger, then spread rumors that gingers have no souls, etc...