The Imperium has actually lost the technology required to create new gene-seed, especially on the level of a Primarch. Many people have tried, but have failed. The closest that anyone got to creating new gene-seed was actually the Space Wolves, but Magnus attacked Fenris and destroyed the research lab there - forever keeping the Space Wolves from creating any successor chapters. They made one before, but that chapter was corrupted by Magnus himself.
The Emperor did know of Alpharius Omegon, remember that he created both of them. It may have not been planned for the embryo to split, but that's what it did and it had to have happened before Chaos threw the Primarch's across the galaxy. So, the Emperor was aware of the twins but kept it secret for unknown reasons. I believe in one of the books in the Horus Trilogy it briefly discusses when the Emperor found the Primarchs and knew them both to be twins.
Woman would not be ideal candidates to be Space Marines for several reasons.
- Most male neophytes die during the organ plantation. You need physically fit candidates, and one's that have strong bodies at a younger age. Young girls would die right out from the procedures.
- The Primarch's gene-seed would not be compatible with the genes of a girl, and the two different genes would destroy each other. Killing the host.
- Space Marines are an icon in the Imperium, a woman could never be seen as such. The Emperor created the Space Marines from men, thus they will stay as men - even though it's impossible for women to actually become a Space Marine.
The closest you'll get to female Space Marines are the Sisters of Battle.