Unfortunately, everything I've seen about women's shelters suggest that they tend to be operated by people who foster an atmosphere of ongoing paranoia and neurosis. The situation is a sympathetic one, but the
administration of a shelter should really not be coming from a mindset of fear and exclusion.
General shelters also tend to be biased heavily against men, I'm afraid. There was an incident with a Salvation Army one in which they took in a family of four, only to turn their teenaged son away because he was "too old to be trustworthy in the women's section, but too young to be allowed in the men's". The vast majority of American homeless are male, and it shows in the lack of resources.
Of course, religious shelters bring in even more failures to care for people as well.
Self defense classes involve putting people into vulnerable positions for purposes of demonstration, I can see how women who need to go to a shelter would not be comfortable with that.
Now, certainly there are going to be women who don't want to be in close quarters with a weapon of mass destruction like MZ, but I think the rational thing to do there would just be to direct them to a female instructor or towards counseling instead of self-defense courses. Turning away a potential resource like that deprives women who may well want to learn to dissemble other humans in a way that few people actually teach. It isn't really fair to not include voluntary programs because some of the potential candidates would find it detrimental instead of helpful.