Yes it is a myth. Time for some botany 101. Every fruit (which is anything you eat that contains seeds regardless of whether someone calls it a 'vegetable' or not) is female. What you are eating is the ovary of the flower that has swollen after being fertilized by pollen from the male flower or male part of a perfect (containing both male and female parts) flower. The male part of any plant is just the part that produces pollen. Male flowers or flower parts cannot produce fruit.
This is not a picture of the flower that peppers come from, but all flowering plants have similar structures and this photo shows things pretty clearly. The pistils are the tips of tubes that lead down to the ovaries in flowers. The Stamen are the male parts that produce the pollen. If the right kind of pollen lands on a pistil at the right stage of flower development, the pollen grain will grow a tube down into the pistil and fertilize a seed in the ovary. Virtually every fruit you eat is produced this way. Some plants, such as peppers, can self-pollinate where the pollen grains from the stamens can land on the pistils of that same flower. Other plants do not have 'perfect' flowers and have male flowers and female flowers. Some of these plants have male and female flowers on the same plant, such as is the case with corn, while other plants have the male flowers only on certain ones of it's species and female flowers only on other ones, such as with mulberry trees.
The petals and sepals on most flowers act to protect the developing parts inside while the flower is still 'in the bud' and many flowers will not open until they are ready to release pollen and/or receive it. Some say that the petals, especially the 'showy' ones also help attract pollinators such as hummingbirds, bees, bats etc.
The shape, number and presence or absence of any of the parts of a flower also help considerably in identifying the plant since each species of plant has an almost unique flower design while many plants share similar leaf and branch design.
The petals and sepals on most flowers act to protect the developing parts inside while the flower is still 'in the bud' and many flowers will not open until they are ready to release pollen and/or receive it. Some say that the petals, especially the 'showy' ones also help attract pollinators such as hummingbirds, bees, bats etc.
The shape, number and presence or absence of any of the parts of a flower also help considerably in identifying the plant since each species of plant has an almost unique flower design while many plants share similar leaf and branch design.