The Stick comes with Windows 10 Home and as such does not allow encryption using Bitlocker. This may have more to do with the architecture than the OS; I just haven't researched it that much. But it seems that for a device as portable as the Compute Stick, encryption should be almost a requirement.
I found a somewhat workable way to use encryption, however. I put an SD card in my Windows 10 desktop and used bitlocker there to encrypt it. When I put it in the compute stick, it shows up as encrypted and asks for the password. After entering that, it works like a normal SD card. Once you reboot, the encryption is turned back on. So Windows 10 Home on the compute stick supports unencrypting bitlocker but it cannot set up an encrypted drive itself.
In my case, I moved all of the stuff I wanted protected to the encrypted SD card (password vault, etc.) . It works just fine.
I also tried Veracrypt, but it took more than 4 minutes for it to make the SD card available. The SD card bitlockered on a second machine opens immediately.
The Intel® Compute Stick does not have TPM to support encryption. That’s an option that you can enable in the BIOS but this unit does not have it.
You can also see the Hardware requirements for BitLocker Drive Encryption