I agree with your first statement. I think being a moral person leads to self respect. I believe that self respect is a requirement for happiness. Happiness is in your self interest. You could also turn it around and ask them: does reacting bitterly in the face of rejection really make you feel any better? Chances are it makes you feel worse. Self-interest might dictate that responding gracefully to rejection may help you preserve your dignity. Preserving your dignity may improve your interactions with human beings in general. That includes, of course, women.

Bottom line, when you treat others with respect, you do it for you, not them.