G-DRIVE vs File System vs WD Security

Hello,
So, I have just bought a G-Drive Usb-c to use with my Mac Book Pro 16" (Big Sur).
Was wandering: Best to use APFS or HFS+?
It looks to me reading various posts on the internet that unless is an SSD Disk the difference in performances is minimum.

Now, I was also thinking to have it password protected.
So very easy answers with my old WD “My book”. HFS+ file system, and password protected with “WD Security” software.

But, with my G-Drive. If I initialize it with HFS+ I can see it on the “WD Discovery” App but not on the “WD Security”, therefore I can’t create any password.
And there isn’t any G-Technology software with password protection service.
Yes, I can use APFS Encrypted. But I was just looking for an easy password protection like “WD Security”.
Plus, strange thing, if APFS formatted, “WD Discovery” will see my G-Drive as “Only reading”. ???

So, if u have any ideas and explanations on the matter u are very welcome^^

Have a nice day