Are women more evolved biologically than men?

"otherwise we wouldn't have lost the fur that prevents freezing"

There are a few reasons we don't have fur but the largest comes down to our evolutionary advantage. A physically fit human can run further than almost every other animal on earth over long distances including the gazelle and cheetah.

Early humans used to do persistence hunting and run extremely long distances simply tiring out other animals to the point that they could walk up to the animals unconscious form and kill it. Some tribes in Africa still hunt this way. Other creatures have claws, massive teeth, etc, before we had our technology we had running. It was how we were able to compete. Fur is a detriment to long distance running as it interferes with the ability to shed heat.

Also: humans evolved in Africa where cold was not as big an issue as it is in some other places, our larger brain's than our previous ape ancestors meant we generate more heat, fire is easier to handle without fur, being bipedal changes the heat distribution making fur less useful, etc.

All these reasons came together to cause a natural selection of ever less hairy humans over time.