Men would rather receive an electric shock than think

If someone says to me: "here's a really hard problem, no go in that quiet room and come back when you have the answer", that would be "being alone thinking" and that would be fine.

OTOH, if someone just puts me in an empty room with nothing to do and nothing in particular to think about, I'm going to get bored very fast, which is going to make the time seem to go even slower.

The actual report is behind a paywall so I can't see the details but I suspect there could be hugely varied outcomes for the choice to administer a shock based on how the intensity of the shock is described (and how bad it turns out to be in reality). The finding that women are 25% less likely to shock themselves might just mean that the men are more adventurous or less risk-averse, not that "men don't like thinking".

I highly doubt many of them would have chosen to administer the shock if it was presented as "definitely lethal" or "excruciatingly painful", whereas I can imagine that while bored someone might simply be curious to find out what a mild electric shock feels like. FWIW I've had lots of 240V shocks and they aren't as painful as you might expect; not at all painful in fact, most of the time.

As far as I can tell, it's not that anyone chose the shock instead of continuing to stay in the room, which might have been more interesting. That fact that someone apparently shocked himself 190 times implies that the time in the room was fixed regardless; it also implies that the shock wasn't particularly painful.