When I set a password for my site, why does it show a username login?

I set my blog to have a password -- my goal is to emulate the .htaccess-style login, where there is a single password for the site, that my client can share with anyone they want, and they won't need an account to see the blog.

However, when I visit the site in incognito mode, it shows the full username/password login screen. This is super confusing, since there's no username for these visitors, only the password I set.

Any help is appreciated.