OK, I ran a quick test so that I could tell you what I saw.
I used a USB flash drive and plugged it in. In Disk Utility, choose "Show All Devices" and selected the drive (and not the existing partitions). I then erased it and chose APFS (Encrypted) as the format type and GUID Partition Map and set a password.
On a subsequent removal and insertion of the USB drive, I was prompted for the password to be able successfully mount the drive.
I went back to Disk Utility and when I selected the drive (as before), the Change Password option is grayed out. However, as the instructions said, I selected the specific volume and now Change Password was enabled. So ensure that you are selecting the correct thing.