Step 1: Examine each pair.
\[
\begin{aligned}
\text{Alary muscles} &\rightarrow \text{Help in blood circulation} \quad \checkmark
\text{Malpighian tubules} &\rightarrow \text{Excretion} \quad \checkmark
\text{Dorso ventral muscles} &\rightarrow \text{Aid in respiration} \quad \checkmark
\text{Anal styles} &\rightarrow \text{Present only in males} \quad \times
\end{aligned}
\]
Step 2: Identify the mismatched pair.
Anal styles are a pair of short, thread-like appendages found on the $9^{\text{th}}$ sternum of the
\[
\boxed{\text{Male cockroach only}.}
\]
Therefore, "Anal styles -- Female" is incorrect.
Step 3: Choose the correct option.
Hence,
\[
\boxed{(D)}
\]
is the correct answer.