Wow!!!
I have lots of thoughts on this, but putting them into words that are not confusing to everyone (or myself!)...
I want to preface this by saying that I am the mother of a DD8 who has played ice hockey since she was 3 & has been on travel teams for the last 4 years...My DH is one of her coaches & he is also on the Board of Directors. So I do understand ALL sides to this.
Please understand you are looking at this from the perspective of a mother of one young son. When my DD first started, "I" felt the same way as you. Now, after all these years, we are used to it.
Our hockey league is just one of many ice hockey teams/ice skating groups that RENTS the ice time from one of our state owned rinks. We do NOT own the facility. We have rules we as a league must follow to use this facility. Our "home" facility has 5 dressing rooms - 4 for teams & 1 for the officials.
Of the 4 for teams, each is usually being used by a team so therefore can NOT be used for an individual.
When it comes to your team, the coach is just a coach. He most likely does not own the ice rink. He does not make the rules. We have to follow the rules set by the league which in turn needs to follow the rules of the rink they are renting from. If the rink says "no" when we ask for the key to the officials room, we have no choice but to use the general locker room.
For our league (yes, it is co-ed), the Mites & Squirts will get dressed in the same locker room as they do not take showers after the games at this level.
All of the kids will either come already in uniform OR will have on shorts/thermal bottoms/pj bottoms & a shirt or under armor on. We have just as many Moms in the locker room as we do Dads. It is extremely rare to have a boy strip down to his undies. Actually at this point - the boys think of my DD as a sister so probably wouldn't even think anything of it!!

At this age, DD is so used to seeing them that she isn't "seeing" them, KWIM??? She thinks of them as brothers.
When we have the girls in the locker room getting ready to go on the ice immediately after the "big boys" (any male who has hit puberty & will be taking a shower after their game) come off the ice, the coaches of the "big boys" will hold them in the locker room until our team has left the dressing room to get on the ice. When the locker room is "female free" the "big boys" are free to to handstands while naked if they want....
With that being said, as I have previously mentioned, my DD plays travel hockey. Not every rink has the option of a separate dressing area for the girls. I have been to many rinks where Girls literally get dressed in the public bathroom. Most of these public bathrooms are MUCH smaller than the locker room. Imagine being 1 of 4 girls on a coed team who are getting dressed in a tiny corner of a bathroom while it is being used by the general public

just because you happen to be of the same sex as the minority. I prefer my DD where comfy clothes under her clothes. I HATE HATE HATE it when she wants to get FULLY changed & has to use the public bathroom to do so (yes, even just to change her shirt - boys could do that in the middle of the lobby & it is no big deal!). I personally feel that most bathrooms in the rinks my DD has skated in are worse than those in more public places such as the mall or a concert venue!!!!! As long as I am venting about bathrooms - ever notice the bathrooms at an ice rink are right near the rink in the cold part of the building???? They are rarely heated in the same way as the main locker rooms are! I can't imagine being half naked in the cold in public!!
Here is a scenario:
I am sure your son is pretty comfortable in running around the inside of his "home rink". Now imagine that you are on the travel team & are at a new rink or school. You don't know where the bathrooms are, you have a hard time finding the correct locker room. I am sure you do not feel as comfortable at this place, correct? Now try to find a perfect stranger - but which one you don't know, who works at this other rink to ask them where you could find a key or a separate changing area.... great you found this spare room. You get your kid changed. Now... where is the rest of the team? Are they on the total opposite side of the arena? Did they start their team meeting yet? Are they aware that you are even there??
It gets much harder for the girls as they get older & travel more - doesn't it??!!!!
Back OT:
But the thing is...my son doesn't want her in there. He doesn't want to get changed in front of her. Last week she was sitting on the bench right next to him while he was trying to get unchanged and into his uniform - he was very uncomfortable. I can't blame him. Why would her parents dress her at home for a game because they don't want her to feel uncomfortable - but allow her to be in there and watch all the boys get changed and unchanged? I think thats pretty inconsiderate and I want to email the coach about it - am I being unreasonable?
Trust me, with 10 boys & 3 girls in one room, there is a greater chance for one boy to be "watching all the girls get changed & unchanged" than there is for one girl who is too busy talking game or strategy or about a new stick or new skates to be in there and watch all the boys get changed and unchanged.
You are more than welcome to treat your son the same way the girls are - take HIM into the filthy public mens bathroom to get changed - away from the prying eyes of an 8 y/o girl. If you do not want to take him into the mens room to change, be sure you get there first so you can get a corner spot in the locker room that way you can hold up a huge towel around your son as he gets dressed/undressed.
Off my soapbox... I hope I was able to get you to see this through the eyes of the girl!