yea, the marketspeak on those sounds like a good idea, the built in encryption, but I dont trust it either.
If you dont need to be able to open the disk image on windows then it's easy.
First I'd open the disk utility and reformat the drive to HFS+ with journaling.
Then use disk utility to create a new disk image (new from file menu) change the size to custom or pick a size that is just a few meg smaller than the entire capacity of the disk. Then select 128bit encryption or higher if the newer versions support it. Then create it on the thumb drive. It will ask you for the password.
Now if anybody else finds your drive there is just a single really big but entirely compressed file on it. But if you double click that no the mac you can enter the password (or not if you store it in your keychain) and it will mount the encrypted volume for you to copy stuff too.
It is an extra step each time, mounting the drive, double clicking the single file to mount the second image. But it's very secure and safe and reliable without relying on hacking the disk drivers to support some other encryption.
I carry a very tiny 2 gig usb drive on my keychain that I keep the latest source code I"m working on all the time with me just in case. And I do exactly what I described. Works terrific.