Why does my husband like dressing as a female in our bedroom?

Your first question - "why does he like it?" - only your husband can answer. Something about it works for him, making it exciting, fulfilling, playful, creative and fun.  Some people are wired like this - and it's healthy, and normal and common. It's just that it's "different" and for people who are not wired like this, it's tough to understand and that's why I'd say - start with talking to him about it. Ask questions. Be open. 

It's wonderful that you were willing to try. Yay! Please don't do anything that you are not comfortable with - it will only create resentment in the future. Be very clear about your boundaries.  

You discovered you didn't like it. As a counsellor, I would want to explore - is there anything about it that you did like, were there some aspects of it that you did our could find fun and exciting? Are there aspects that you would be willing to explore for him - even if it doesn't do it for you?  What would make it easier for you? What can he do to make it more playful for you? Are there any other way to explore? 

I would look for an overlap between all the things that he wants to explore and all the things you want to explore - and start there. It might not be everything he wants, but it's a good start. 

If that's how he is wired, then it's unlikely it would just go away. So it makes sense that he's making comments about it. It's a need, a desire, a fantasy. It doesn't mean that just because he has a need you have to do something about it - you absolutely don't have to. It's not about pressure or obligation. But if there's a willingness to try - this could become a fun exploration for both of you. 

I'd also explore other forms of intimacy. Sexual and/or non sexual. Are you enjoying each other's company, are you able to find connection and pleasure? Is this the only way he wants to be intimate? If it is, and you do not want to, I'd look for a kink-positive couples counsellor to find some extra support.