You enter the Username & Password used to authenticate in the window where you've ticked "require username & password."

That way, the JSS uses those credentials to connect to the distribution point.

Checking that box within the JSS, web interface, tells Casper to pass the given credentials to the distribution point when a client needs to connect. If the distribution point isn't setup to require a password, checking that box won't change that. You need to have the web server on your distribution point setup to require a username/password.

~ Josh

Thanks Josh. Was just missing that final piece of information.