File ▸ Password Protect encrypts the open note and its attachments with a password of your choice; its title is hidden in the list. Click the note and enter the password to read it. Edit Password Protect changes the password and Remove Password Protect takes it away.
Nobody can open a protected note without its password, the developers included: keep it somewhere safe.
The attachments of a protected note stay inside Paragraph: they are not copied to the disk in clear, not opened in other apps and not exported. Remove the password first if you need them outside.
File ▸ Lock keeps the open note from being changed until you choose File ▸ Unlock or close Paragraph.