There are no regulatory requirements. Usually there is no need for a third party to be present. If you are conducting monthly counseling sessions and all of your Soldiers are counseled one-on-one with the exception of the female who is counseled with a third party it will most likely create an issue. Why are you treating her differently? Has she done anything or acted in a way that warrants you bringing in a third party? She will most likely feel that you do not trust her which will negatively impact the morale of your team. Let’s look at this in reverse: How would you feel if you were the sole man in an otherwise all-female team and your supervisor brought in another female every time she counseled you?
My suggestion would be if you are uncomfortable with any Soldier, regardless of gender, simply conduct your counseling sessions in an open area away from other individuals but in plan sight of everyone. Alternatively, leave your door open and ensure there are individuals in the other office area who could easily see into your office space.
If there is discomfort, uneasiness, or you believe a situation may become heated then it is always acceptable to have a third party present regardless of gender. Unless the Soldier has given you reason to be suspicious of their behavior behind closed doors I would not treat them different than any other Soldier. Find a way to treat them as you would treat your other Soldiers. By using this method you eliminate the gender issue and treat each Soldier based on the situation.