According to the User Manual of your router, you cannot configure keys and certificates to establish an encrypted connection to it.
The "Authentication Required" window that you included along with "Your connection to this site is not private" warning comes from your browser which assumes you are connecting to a regular website. As the router requests login credentials over an unencrypted connection, browser displays the warning.
If an HTTPS connection was established between the browser and the website has been established, browsers do not display this warning. This however requires a working PKI. Website presents a certificate and browser cryptographically verifies its authenticity proving that you were indeed connected to the site displayed in the address field.
This would be impractical when setting up a new router. Even if a device generated a new certificate, users would be presented with another browser warning (even more "scary" about the certificate not being valid from the PKI "point of view").
Some more advanced routers will allow you to later add keys and certificates.
With your model, from the moment of factory reset, you are protected only with WiFi encryption (the password is printed on a label attached to your router, see page 11). In short for a customer-grade router: your neighbour will not be able to learn the password you set and type in your browser.