Given that it's a function of the bootloader, not Windows Mobile 6, it can't be a feature of the OS.
Also, passwording the bootloader is almost impossible, there is no keyboard in the bootloader, there isnt enough space for that kind of I/O software, you'd need drivers for the touchscreen at the very least.
The best way to keep your phone safe is to keep it in your pocket, if it gets stolen, have insurance, if it's passworded they can't get your files, a hard reset deletes everything, don't keep anything personal on the expansion card.
If it gets stolen, call your provider, get them to lock out the sim, and get the replacement phone.
After you lose it, it's gone, what do you care what they do with it?
This is a pretty dead end subject, hence the lack of replies.
HTC Sensation XE - CM10.1 AOSP 4.2.2 Jellybean [KANG] - albinoman887
Ex- HTC Trinity user, Ex Diamond, Ex HD2 user