Shannon OBrian and Kerry Healey & Martha Coakley all lost gov races too. Mass, except for Elizabeth Warren exceptional Sen run, havent had female statewide officials. And Coakley was a retread as well, just like Scott Brown in NH.
While it is true we have never had an elected female governor (Jane Swift was Gov for a bit, but she wasn't elected to that position), I think the candidates you mentioned who didn't win failed not because of their gender but rather due to other circumstances. 2006 was a political environment very favorable to democrats, and MA being a deep blue state and Deval Patrick being a very strong candidate / Mitt Romney approval ratings going down, it makes sense that Kerry Healey (Romney's Lieutenant Governor) lost by so much. Coakley's loses can partially be blamed by national political environments as well, as her senate and gubernatorial races occurred in years where republicans performed strongly around the country. Also, Coakley just wasn't a great candidate, it seemed as if she always assumed she'd win in deep blue MA so she didn't put the necessary effort in to win her races. So sure, a female hasn't been elected governor yet, but we've elected a female senator (Elizabeth Warren), and our LT Gov (Karyn Polito), state treasurer (Deb Goldberg), state auditor (Suzanne Bump), and Attorney General (Maura Healey) are all women. So I don't think MA voters are afraid of electing women to office, the stars just haven't aligned yet for Governor races.