@scdecade - because i want to test Polybase, just that. Also it has option to connect to SQL so why not use it this way? One would think SQL Server...

Hello at least since SQL Server 2014 there is backup encryption (not sure if 2012 had it):

https://docs.microsoft.com/en-us/sql/relational-databases/backup-restore/backup-encryption?view=sql-server-2017

Also there is something called Transparent Data Encryption (was in 2012) which except backups...

What SQL server version do you have excatly (build number)?