I spent 2 days researching this issue. I repeatedly found information similar to what Sidney suggested. However, on my Surface Pro 6 with Windows Home, I did not have any option to encrypt any removable storage media. Eventually I found this information on Windows Support
Encryption helps protect the data on your device so it can only be accessed by people who have authorization. If device encryption isn't available on your device, you might be able to turn on standard BitLocker encryption instead. Note that BitLocker isn't available on Windows 10 Home edition.
Windows 10's Device Encryption only seems to work on the system (C:) drive.
If there is another solution short of upgrading to Windows 10 Pro, I'd appreciate learning about the procedure.