Does the assets are shown as protect at http://<host>:<port>/system/console/cug ?
If not IIRC there is no ui either you need to customize dam asset editor by overlaying OR make sure the properties  are set properly for the assets.
Courtesy to Justin Edelson.
Enabled - cq:cugEnabled
Login Page - cq:cugLoginPage
Principals - cq:cugPrincipals
Realm - cq:cugRealm
I didn't realise you could add a CUG to folders within Digital Assets. I have now added this as it works.