There may be Windows only solutions to folder password protection (the one I remember is from 20 years ago lol), but they are unlikely to be cross platform.

Of the top of my head the only thing that would work in a cross platform manner are password protected archives.

It does not exist.

• You can use a regular folder full of .gpg files. This is what I do.
• You can use an encrypted archive. Maybe get a plugin for your file manager to make the UX more bearable.
• On Linux, you can mount a file as though it were an encrypted hard drive and unmount it again when you are done.

Generally, you don't want it to be completely transparent and painless. Security isn't just encrypting files, it's also your personal practices. Checking sensitive information in and out is part of maintaining your security. If you don't have good habits, no technological mechanism will keep you secure.