I'm sure this woman would be horrified to have it framed as sexual harassment and wouldn't think for a minute that he might have felt uncomfortable and exposed by her comments, because only men can be creepy and only women get victimised, right?
Yes, but if it were the other way round, there wouldn't be any question about it being sexual harassment and out of order. And whether or not she meant it to be harassing isn't relevant - it's whether the person on the other end felt harassed by it. Even if he didn't, or even if he didn't speak up about it, you clearly felt uncomfortable with it.
I'd check the code of conduct (ours is very clear on such things, and this behaviour is out of order whoever is doing it or receiving it) and I'd go to HR, too. (Well, in my case, I'd go to HR and point out that this is why they should be giving harassment training and unconscious bias to everyone, not just senior managers, and please could they see my previous comments on this, but I'm assuming you haven't got a history like that!) I probably would also mail the man it was aimed at, if I knew his name, to offer him support if he felt he needed it. But I think the main thing is that people don't seem to be aware that such behaviour isn't really on, so probably there needs to be some general training of some sort. (I had really good harassment training at a previous company, which was compulsory for everyone, but I don't imagine it was cheap to do.)