Don't think mace is all that available here... but I personally think all women (and men) should take precautions as a matter of course. Carry a rape alarm at the very least (some places give them away for free). And yes, even confident women (and men) often feel the need to protect themselves by having a friend they trust walk with them or answer the phone etc.
I once had to act as a phone screening service for an office colleague who was caught up in a nasty court case over copyright issues. She was concerned that the other party (who had allegedly stolen her work - no idea if or how it was resolved so I still say allegedly despite it being more than 10 years ago) would try to ring her to threaten her for taking this to court. So, my job was to ALWAYS pick up the phone and ask who was calling and get them to leave a number. If she knew who it was, she called them back. She was a very succcessful, professional, confident woman but she felt she needed protection in that instance (as I think I would too).