Yes, really. I’m a mother and a former substitute teacher. I’ve heard boys screech. Of course, YMMV.
Maybe the screaming evolved to scare the lions away.
You haven’t seen any lions in your neighborhood, have you? So it works. 
A bit of mildly sick verse from about a hundred years ago:
Father heard his children scream,
So he threw them in the stream;
Saying, as he drowned the third,
“Children should be seen, not heard.”
Little girls shrieking as they play, I can tune out. They’re just having fun. When they grow up to be Woo Girls, then they’re a pain in the ass.
I’m with Dendarii on this, Shagnasty. Granted my son is younger than this thread is talking about, but he’s been through a couple yelling and shrieking phases already, and I’m sure more lie ahead. Actually, I eventually cottoned onto the fact that his yelling coincided with his teething. It was constant and LOUD, as I’m sure was the pressure from his teeth. But the shrieking? That he does for pure fun. 
I check the volume of audiences at shows when the band comes on stage (it’s just an app) and most reach 90 with the band themselves around 75. Justin Bieber in the last five seconds of his countdown was at 105. It was insane. They clammed up right after that and were silent the rest of the show enraptured, though.
Those few seconds of silence between when a child is hurt and when they start screaming is called a lullacry. 
Love it!
Ugh, the girls next door screech from time to time and it is all I can do to not rush outside to see if they are being attacked by bears. It’s primal thing. Their parents either don’t care or they are so used to it they don’t bother.
This past Friday night my wife and I went out to a very exclusive, very, very expensive restaurant for a special occasion. There was a screecher at the next table. A grown, well dressed woman in a tiny room. She would burst out with a screech from time to time, which caused the other woman at the table to let loose with a similar, only less loud, screech. The management asked us if we would like to move but the place only has a few tables. My memory of the place will always be of that screeching woman.
I think it’s a social thing, and it’s some of those aspects that little girls pick up from other little girls and their mothers. This is why it can be trained out of a girl, and why sometimes boys pick it up. I have seen boys do it, but they tend to be boys who spend a lot of time with girls and women, but every time I’ve seen a boy who did it, once they got around other boys, it would generally go away.