Just for information sharing and if anyone has any ideas to improve, the following shutdown python script creates a password protected zip file that works with the FME Server download service.
This use s 7za.exe located in the Resource Data area.
import subprocess
import os
DirectoryToZip = r'$(FME_SERVER_DEST_DIR)'
outzipfilename = (os.path.splitext(r'$(FME_SERVER_DEST_DIR)')[0])+'_z.zip'
ZipPass = str(FME_MacroValues['ZipPass'])
subprocess.call([r"$(FME_SHAREDRESOURCE_DATA)/7za.exe",'a', outzipfilename, DirectoryToZip ,'-mx9','-p'+ZipPass], stdin=None, stdout=None, stderr=None, shell=False)
os.remove(DirectoryToZip)
os.rename(outzipfilename, DirectoryToZip)