I'm having the same problem that was reported on an earlier version and that the plugin author said would be fixed in the next release. That was about a year ago. (No complaint here, just a report that it may not be fixed.) After running the diagnostics, there are conflicting reports, one, for example, saying that .htaccess files are writable, and another saying they're not allowed.
When I try to configure the password, the message says the .htpasswda3 file can't be created, but it actually has been created, but without the password information.
I contacted my hosting provider (BlueHost) who looked at the diagnostic output and suggested I contact the developer. So here I am.