Problem creating password protected DMG/folder using Disk Utility

Hi. I was curious about how to create a password protected folder on macOS, so I followed some instructions I read online, but I'm having some issues. I successfully created a password-protected DMG file and, when I opened it the first time, I was asked for the password. I did not click the button for the password to be remembered in Keychain. But the next time, and all subsequent times, I've double-clicked on the DMG file, it opens, but without asking for the password. So I'm a bit confused why it's not working. Anyone have any ideas?

These are the steps I took:

• I ran Disk Utility
• I chose File>New Image>Image from Folder...
• I chose the folder
• For Image Format I chose read/write
• For Encryption I chose 128-bit AES encryption and entered a password
• I clicked Save
• Disk Utility then generated the folder disk image
• I double-clicked the DMG file
• I entered the password and did not check the button for saving in Keychain
• I ejected the DMG file
• I double-clicked on it again
• The DMG file opened without asking for the password