Denote $G = GL_{2n}(\mathbb{R})$, and let $F : G \to G$ be the map $F(X)=X^2$. Let $\mathcal{J} = F^{-1}(-\operatorname{Id})$, the space of all linear complex structures of $\mathbb{R}^{2n}$. Is $\mathcal{J}$ an embedded submanifold of $GL_{2n}(\mathbb{R})$?
$G$ acts on itself from the left by conjugation $A \overset{B\cdot}{\mapsto} BAB^{-1}$, and under this action $\mathcal{J}$ is the orbit of the standard complex structure of $\mathbb{R}^{2n}$: $$J_0 = \begin{pmatrix} 0 & -\operatorname{Id} \\ \operatorname{Id} & 0 \end{pmatrix}$$
The stabilizer of $J_0$ is a closed Lie subgroup which can be identified with $H = GL_n(\mathbb{C})$. Therefore, the quotient $G/H$ has a smooth structure, and the orbit map $A \mapsto A J_0 A^{-1}$ transcends to a smooth, injective, $G$-equivariant immersion $\iota : G/H \to G$ whose image is $\mathcal{J}$. But, the action of $G$ is not proper, as the stabilizer of $J_0$ is not compact. So, we cannot deduce that $\iota$ is a proper map, and therfore an embedding.
Is there any other way to show this is an embedding? Or is it wrong?
Another way I tried to approach this is by using the fact that $F : G \to G$ is also $G$-equivariant, and therefore has a constant rank on every orbit. But, this doesn't give me a constant rank in an open neighborhood of $\mathcal{J}$, so I cannot argue it's a level set of a map with a constant rank.