No, I have a card reader that works correctly and is WP if the switch is moved on the SD card. It was a cheap plastic one.
I agree about the speed, however this is because most of these card readers are very cheap. If you buy a USB 3.0 card reader (which I don't have and so have not tested - e.g. Kingston do one) then speed should not be an issue as these have good (fast) controllers. Of course, SD cards vary in speed a lot so you need a good fast one too.
Interestingly, on wiki it says
A host device can lock an SD card using a password of up to 16 bytes, typically supplied by the user. A locked card interacts normally with the host device except that it rejects commands to read and write data. A locked card can be unlocked only by providing the same password. The host device can, after supplying the old password, specify a new password or disable locking. Without the password (typically, in the case that the user forgets the password), the host device can command the card to erase all the data on the card for future re-use (except card data under DRM), but there is no way to gain access to the existing data.
I wonder if any s/w exists which will do this?