I've read the write up of the guy killed who got the bronze star for what he did trying to save the other 2 officers. I don't think them being in PT gear had anything to do with it, it was more a killing of opportunity. Seriously, I don't think the terrorists are going to say to themselves, "Oh I wasn't planning on making this attack even though I have the opportunity, but now that I see women in PT gear, death to the immodest infidels!"
It was actually an Afghan Army soldier who shot them, and he proceeded to kill himself right after.