The female is a straight replacement for the prototype you have fabricated (assuming it is internally threaded)
As in your prototype you will obviously still require locking nuts, so asthetically, I don't think there will end up being much difference.
As others have mentioned, the strength of the male type will be superior in both bending, tensile and compressive forces, even given the threads can act act as stress concentration points.The only time a tube will have an advantage is in tortional strength, hence the reason driveshafts are hollow.(and then only if slightly larger that the solid quivalent.)
As valley says, the knurled section of the female will end up getting vice damaged by incorrect tool use.
As far as I can see, by using the male type, with the nuts welded to you UCA tube, will also overcome the problems ofhaving a heat affeccted zone from weld heat on the hit tesile threaded section.
Go for the male one.

 

Ok,,, I thought about it,,, I think that the stud looks better,,,, but I think that the tubing will provide a little "strength insurance". These parts will be used for adjustment purposes, I like the idea of the "factory built" adjustment tubes in favor of the adjustment studs because I think the tubes are better suited to remain intact when there is not a lot of the all-thread inside of it. The control arm tubing may not be of suitable constitution with not so much all-thread in them.

In other words, I trust the designed strength of the adjustment sleeves with short bolts in them more than I trust the control arm tubes with short bolts in them. The control arms don't bother me with 1 1/2 or 2 inches of all thread in them,, but lessmight make me a little nervous.