It has been removed.
And if you try to encrypt later (via control-click in Finder), the HFS+ volume will be converted to APFS encrypted.
But BS will use a disk which was formatted HFS+ encrypted by an older version of macOS. So you either need to a) visit a Mac with older macOS, or b) use a virtual machine. As a test, I used a High Sierra virtual machine to create the HFS+ encrypted volume which could then be mounted and used in Big Sur.
My reading of this is that Apple want to stop using Core Storage which is the container used by Fusion drives and by encrypted HFS+.
My advice: Use APFS encrypted for your external HDD unless you have a very strong reason for wanting HFS+ encrypted.