Can only certain SD cards be password protected

It must be in a GUID partition map. In disk utility, you must show all devices from the view pop up menu. Select the device and erase it setting GUID partition map. You may have to erase it first and then go back and encrypt it, but you may be able to encrypt once you set the partition map to GUID.

You’ll only be able to use that device on a Mac running high sierra or later because it will be formatted APFS

Perhaps this article from Apple related to Encrypt a Storage Device using Disk Utilities will offer some insights

refer to link below specific to macOS 12 Monterey

Encrypt and protect a storage device with a password in Disk Utility on Mac - Apple Support (CA)

Protect your Mac information with encryption - Apple Support (CA)

Excerpt from above link and specific to Memory Cards

" Using removable media, such as CDs, DVDs, removable disks, or memory cards, has become a popular way to transport information. However, if the removable media is lost or stolen, someone else can access its data by mounting the media on another computer.

If you want to keep private or confidential information secure on removable media, you need to encrypt the information on it.

WARNING: When you encrypt a disk or other media, the disk format is converted to the APFS format and then encrypted. Macs with older versions of macOS that don’t support the APFS format are not able to read the device’s data. Consider whether you need to connect the media to a Mac with an older version of macOS before you encrypt the data. You can also update your other Mac to the latest version of the macOS that supports the APFS format."

GUID doesn't encrypt. It is a requirement to allow encrypting.

If you go to erase again, it should have an option for APFS Encrypted.

Ah, the " Devil is in the Details " as my learned colleague points out >> Partition Map in GUID

Erase and reformat a storage device in Disk Utility on Mac - Apple Support (CA)

what you mention above is the Drive Format

The Partition Map appears in a line below the Format TYPE

Q - " When I choose the SDXC reader, and then click on erase, I get the Guid option. Should I select the reader? "

A - Yes

What you think is the reader is the card. Disk Utility (macOS) doesn’t show the reader, only the media. So, yes, that is what I would erase