XPS 13 9365, SSD disk password issue

One additional note: Even if Dell systems did support HDD passwords were for NVMe SSDs, the fact that an SSD supports an HDD password does not always mean that it uses that password to actually encrypt the data.  Some SSDs do this, but to my knowledge it's not a guaranteed feature.  Proper encryption, even software-based encryption, is far greater security than an HDD password that is simply enforced in firmware but does not actually encrypt anything on the drive itself, which is how the overwhelming majority of HDD passwords worked until relatively recently.

It's not specific to the XPS 13 9365.  Dell systems do not support setting HDD passwords on newer NVMe SSDs, only the older (and much slower) SATA SSDs.  There's a KB article about it here: https://www.dell.com/support/article/us/en/19/sln305225/no-bios-option-to-set-a-hard-drive-password-on-m2-ssd?lang=en

In terms of alternatives, if you're running Windows (and only Windows), you can use BitLocker as long as you're using a Pro or Enterprise version, otherwise there's the free and open source VeraCrypt.  Both of those are software encryption, but since CPUs for the last several years have included hardware acceleration for AES encryption, and both BitLocker and VeraCrypt know how to utilize that capability, software encryption no longer creates a bottleneck even on NVMe SSDs.  BitLocker additionally gives you centralized management capabilities (assuming you have an AD domain and can deploy Group Policy) and the option to back up Recovery Keys into the Active Directory database, as well as offering other unlock options that might be useful.  With an HDD password, if you forget the password (or the employee who uses that laptop leaves the company and doesn't tell anyone what it was), sometimes you can clear an unknown password in exchange for wiping all of the data, but other times the SSD becomes completely useless.