Why do women play fewer sets in the first place? - I don't know why.
It happens only in Grand Slam tournaments - in other tournaments both men and women play best of 3 sets.
The women don't hit the ball as hard so, yes, their games are a bit slower than the men's as a consequence. But that still doesn't explain the 5 sets vs 3 sets thing.
I mean, women footballers play for 90mins, just the same as the men.