I vaguely remembering hearing that particular rule of etiquette, which is confirmed and explained here:
http://www.digsmagazi...iquette_3-28-02_3.htm
However I know that I've congratulated plenty of women upon their engagement and (although I'm not the most sensitive of people) I'm reasonably confident that I've never caused any offence by doing so.
I suspect that the 'rule' now only applies (if it does at all) to those engagements which are announced in 'Tatler' ;-)
Chris