Yes, some women have penis. But if I keep my eyes on the cock, wouldn't I be the one staring and being disrespectful? Should I punish other person for my actions? When a man looks at my cleavage, is it my fault? So if I do look at her penis, why is not on me?
I think that the key here is for people to know when they are in a sexual situation and when they aren't. And while there are plenty of sexual fantasies at the gym, anyones who actually goes to the gym knows that people in changing rooms usually focus on their own business.
The penis is not the problem, the real problem at changing rooms are the people who needs to comment on others. I would take the woman with a penis over the one who feels the need to criticize my weight gain over christmas. Or worse, the one who does that while touching you to "show" you that you have more fat. I mean it.