Probably because you aren't a woman?
I've been to one Shotgun and Chelsea Bun event and found it wasn't for me. Probably because I had already shot quite a lot of clays and didn't feel the targets were particularly challenging or that the accompanying coach was of much help.
However, if you are a woman who doesn't know any men that already clay shoot and you want to give it a try for the first time or maybe use it to build a bit of confidence before going to open shoots or registered shoots, then I can see the benefits it offers. Anyone that does the Shotgun and Chelsea Bun thing, catches the bug and wants to shoot more is almost certainly going to end up moving on to shooting with men, but by that stage at least they'll feel confident enough that they aren't going to make a complete prat of themselves in front of the usual bunch of grumpy old codgers that assemble at most open shoots.