There are barely any studies, but I think there is some data suggesting a physiological sexual response also occurs in women during REM.

Still, the matter here is not so much the analysis of REM sleep - otherwise we'd have reliable ways to induce lucidity in proper labs - as much as it's the difficulty of DEILD: the incorporation of the stimulus is much harder than what we'd expect...I'd go as far to bet that even if DEILD got popularized, we'd see much better results if you incorporated DILD practices oriented towards cue-association, like reality checks.