You can also simply encrypt an image file. This can then also be stored on cloud storage or a differently formatted storage medium

https://support.apple.com/de-ch...

Thanks for the feedback. I have managed it via the hard drive utility. You have to display all devices there under View and then format the device at the top level of the drive, then you also have the option of changing the format and the scheme.

As it turns out, OneDrive does not allow the OneDrive folder to be stored on a "stick". Do you have any tips on this?

You can format it in encrypted form using the hard drive utility.

Name: Any
Format: APFS (case-sensitive, encrypted)
Scheme: GUID partition table

PS: first select scheme, then format.