Although you've defined a file-based encryption and configured a Media Passphrase, the option to change the Media Passphrase via the SafeGuard Enterprise tray icon is not available.
Known to apply to the following Sophos product(s) and version(s)
SafeGuard Enterprise Data Exchange 22.214.171.124
The right-click menu on the tray icon is populated right after logon, so if your system hasn't been rebooted since applying the policy, or the removable device has been connected to the system since you last logged on to Windows, the option to change the Media Passphrase will not appear.
In SafeGuard Enterprise versions < 126.96.36.199, the SafeGuard Enterprise tray icon does not support dynamic creation of context menus and therefore can't react on policy changes/attaching removable media while a user is logged on.
What To Do
Ensure that the removable device is connected to the computer and log off, then log back on.
To avoid this problem in the future, you could upgrade your client systems to SafeGuard Enterprise 5.50.116, which now supports dynamic creation of context menus.