As I wanted to use SD card to move files from my laptop to Surface Go, it made sense to encryt the data. Easy, just right-click on the drive and turn on BitLocker, I thought. However, my SD card didn't give me such option. For some reason Microsoft decided to not show this option in context menu.
However, one can still encrypt it using command line. Syntax it a bit annyoying but workable. In my example, I had my SD card mounted as drive S:.
manage-bde.exe -on S: -password -sTo check how the process goes, you can use -status parameter.
manage-bde.exe -statusTo make things even better, once encrypted, these disks are usable on Ubuntu 22.04 too. You might just want to install exFAT support.
sudo add-apt-repository universe
sudo apt update
sudo apt install exfat-fuse exfatprogs