It seems like this is a Windows issue not DLink. When you add a username and password, you need to remove the MAPPED drive first (otherwise it will continure to have full access, how dumb is that) and once you re-map the drive and try to open it, it will ask you for a password. The only issue is that each username can only login from one spot. So I have a few devices and I have to create a username for EACH OF MY devices to get full access. I also need to create a different username and password for EACH OF MY WIFE's devices (laptop, iPad, Phone, work laptop) so with two of us in the house we will end up with 10+ similar username and passwords. Very dumb, again.
Regarding my VOLUME disappearing, there is no explanation, DLINK guy didnt know either, he reset the entire DNS box from inside the web browser interface menu (dont remember where, he remote connected to my computer with teamviewer) and the volume magically reappeared again with all files intact.