I think it is a feature available in USA firmwares, and not anywhere else in the world. So if you have a phone from somewhere else, no luck.
I guess you could install a firmware from USA to get it.
Maybe some day the rest of the world will be able to use the feature... :/ I don't get Microsoft's thinking in this.
I hadn't read anything about it being tied to encryption though :0
Update:
I have non-USA firmware. I tested the encryption thing, turned it on, rebooted the phone, got a "You need to restart to apply new settings" or something like that message, so restarted again, then went to Find My Phone and still no reset protection. So yep, you need a firmware that has it.