Not protecting files

Soooo how exactly does this plugin work, because I protected a file, opened in an incognito window the link, and was logged out and was able to access the file…

I’m on WPEngine which uses Ngnix, if that matters.

Edit: I see from the docs it doesn’t work out of the box with WPEngine and have to pay for the Gold version (eye roll…) in order to make it work.