Women played several roles in this play, but almost all of them were relatively minor.
The most common role is foil. The woman who stops him on the way to the gallows is essentially a foil—she doesn't exist much in her own sake, but mainly to throw light on More's character.
Margaret is there mainly as a foil; she shows the limits of More's mind, but his depth as a father/teacher.
Alice is in some ways a contrast to Thomas; her very limits allow him to be cast opposite, and she is accepting and supportive.