This is possible but would only be supported with RTSP clients by default. To get this working RTMP or HTTP clients, it would require writing a custom player or plugin and some custom code in Wowza to trigger this authentication.
First you will need to add a new <Method> to the <Methods> container in the [Wowza-Install]/conf/Authentication.xml file, an example can be found below called digestplay.
You based on the above, you will need to create a password file called play.password in the [Wowza-Install]/conf/ directory.
In the Application.xml file you will need to change the RTP/Authentication/PlayMethod from none to digestplay.
After editing these files you will need to restart Wowza for the changes to take effect.
This can be tested with VLC player and should work assuming that the password file defined in the Method called digestplay exists.