I installed a female header on my pi Zero W and the Male/Male wires work just fine, good tension. They will not work in the header holes with any chance of reliability. I like this better than using a male header! The pins are not exposed to being shorted this way. You can still connect it wrong and fry it though!
512MB version 2.0 as WordPress Server
Motorola Lapdock with Pi2B
Modded Rev 1.0 with pin headers at USB
(RS)Allied ships old stock to reward its Customers for long wait!