Ed Yong has a great critique of the recent paper that suggests it's because latent sexism leaves us assuming lady hurricanes will be kinder and gentler. In it, he mentions an alternate answer to the above question that made me smile in its simplicity.
For a start, they analysed hurricane data from 1950, but hurricanes all had female names at first. They only started getting male names on alternate years in 1979. This matters because hurricanes have also, on average, been getting less deadly over time. "It could be that more people die in female-named hurricanes, simply because more people died in hurricanes on average before they started getting male names," says Lazo.