Device encryption is currently supported on WP8.x devices. What Microsoft should really do is enable Bitlocker encryption natively to removable storage without any mandatory IT policy, one of the reasons why I'm not saving my camera roll pics to the SD card.
I honestly did not think about that on my 1520, ALL my photos, documents, donwloads, music, etc are on my SD card. literally did not think about that one, welp I hope that I get to install 12495 on my phone Monday and will instantly enable that feature. THANKS for the Idea
It's available now on 10166, you just have to look, Settings>System>Device encryption I have not enabled it yet as I am not sure what it does and till then I don't want to take a chance to lose data.