I had the same question. Since the underlying WD Mybook Live Firmware (Linux) supports disk encryption out of the box, it should be made available. It would be enough if you have to unlock the box once (e.g. via Web UI) after booting it, and it automatically locks when losing power (i.e. somebody steals it).
It would probably also be enough if only the /DataVolume partition (where the shares are located) is encrypted.
Unfortunately, the system firmware is missing some required modules to enable encryption. A firmware update would be able to fix that.
I have also entered this into your Community forum as a suggestion. For me, drive encryption is essential, but network connectivity is also essential. I would probably buy several Mybook Lives if they could be encrypted.