Password Protected Objects in OneDrive should have protection extended to when that object is viewed in Windows File Explorer. Presently, as of 11/14/2019, it is the design of OneDrive to allow Password Protection on Shared folders. As long as the shared & protected object is viewed in a browser then a password prompt secures the object. However, if that object is Added To My OneDrive (aka viewable within Windows 10 File Explorer) then the password prompt goes away while access to the content remains. This is a security flaw in my opinion and not a feature. Microsoft support confirmed that this is an accurate description.