The answer is NO. There is a perception that men give deeper massages than women. This is a myth. While some men do give a deeper massage, there are men who prefer to not work so deep. The same holds true for women.
It is a matter of style, training, and therapist preference. Some therapists prefer not to give really deep sessions while others specialize in this area. If you are looking for a deep massage, it is best to simply ask the therapist if she/he does this type of work. And of course, during your session it is perfectly ok to give the therapist feedback if you would like a lighter/deeper pressure. It's your session!
And remember, massage does not have to hurt to be effective.