> Soo…. The majority of women are overweight?

Yes. A smaller percentage, around 40%, are obese according to BMI.

People labelled as obese and underweight according to BMI tend to be at much higher risk for various health problems. The evidence is less concrete for the overweight, but not obese group. The reason is basically exactly what you're getting at. You can be overweight by being particularly muscular, etc.

BMI is an incredibly rough measure of your physical condition. At the extremes (obese and underweight) it is definitely associated with health problems. At more middling levels the fuzziness and imprecision of the measurement makes it less useful as a gauge for health risks.