Yes,
My Screen Recorder Pro can create a password protected video.
Here are the steps:
1. Create all your screen recordings
2. From tool bar click on "Video Executable"
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3. Now Add Your files
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4. On Clicking Next you will see this dialog
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5. Check the box "Require password for viewing"
6. Enter the password of your choice with at least 4 characters
7. Click the Next button 3 times
8. Video.exe file will be created and will require a password to open it.