Mary Stu is a female bit of terminology because it got started as a term from "romance fiction."
In fanfiction, which is predominately written by women, there's a subgenre of women who write thinly disguised inserts for themselves which romance canonical characters.
Edward Cullen, Captain Kirk, and so on.
But yes, Gary Stus exist but tend to be ignored as original fiction often gets a pass and "Competence Porn" has always existed. There's less gendering than most might think, though, since Mary Stu was created by women reading women's fiction.
There is a caveat that "Super-Competent Cool" characters can be written WELL, though. In which case they're beloved by the audience.
Batman, for example, is the best at everything. A millionaire playboy who gets all the wimmenz. James Bond. The spy who gets all the perks of being super-rich plus danger plus the wimmenz.
Plus, some characters are just COOL like Dante or Lelouch.
Or this guy.

Who is my Skyrim and Dragon Age character.