For the primary password, but only if you keep clicking `cancel`. IIRC, pressing the "Close" button (X on the top right) does the same, but I'd have to confirm.
As the title says, if you have many accounts on your desktop Thunderbird (at least Windows, but I suspect other systems to be equal), once you have the primary password set, it'll ask you to fill it once you start Thunderbird.But if you opened it by ...