I recommend you clearing the cmos and checking if the HDD allows the HDD password feature.
Still no luck with this. It doesn't work with i3 version NUC either.
I think the issue is that the onboard full size SATA is port 0 and the mSata is port 3.
I've read for other Intel boards that the password can only be applied to the drive on the lowest drive port.
Also, I'm not able to update the firmware on the mSATA drive. The updater doesn't see the drive. Probably the same reason.
It is a Plextor drive and it is on the certified list.