New Platform

Yes it would be definitively a very cool and often requested feature. But its very hard to implement. If you only protect the menu, nothing stops "the thief" from accessing your file using windows' explorer. To prevent that, the best thing would be some sort of encryption but most of them if not all require admin rights which isnt portable. The best solution would be a drive with hardware encryption.

Short answer: Its probably not gonna be in the platform.

try to search and you will find lot of requests for such feature.
The problem is, that while it can be done, and will be done one day probably,it is of just little practical use since everybody can bypass such 'protection' without any substantial effort. So why to bother?

You see, there are many attempts to 'password protect' something, one of the funny is the password protection of Thunderbird (addon in mozilla repository).
It will ask password when you open the Thunderbird GUI, but the mails, addresses and all other infos are presented to everyone in plain text on the drive. So what should this serve for I could not discover.

I carry two copies of PortableApps with me on my thumbdrive. The public one on the drive itself, and the private collection (including Documents and Thunderbird) inside a TrueCrypt container. This way I get the best of worlds.
Never tried to run two Menu's at once though Wonder what would happen? I directly launch the exe's from the TrueCrypt drive, and just run the Menu occasionally for updates.