Lutherans are less comfortable and less experienced with exorcisms than Catholics. In the case upon which The Exorcist is based, the boy and his family were practicing Lutherans, they went to their pastor, who suggested they see a Catholic priest.
If the Catholic Church has ever - even in error - ordained a woman to the diaconate or priesthood, there’s certainly no record of her becoming a bishop. It’s also unusual, at least in the last millenium, for bishops to be practicing exorcists. It’s a job that’s, at least currenly, very specific, and more common for a diocese to have one than for each priest in a diocese to be one.