How to make and transfer secure (encrypted) ZIP files from Mac to PC
The encyrption was still valid, you just saw the file names within the archive. 

Sometimes, though I do not know if this is the reason in your case, the hidden files within Mac folders will confuse Windows OS. The fact that it even mentions ".DS Store" suggests that these files are part of the package you made, and my not be compatible with Windows, which does not know what to do with .DS Store folders and other Mac metadata. 

As for zip products, you could try the free trial of WinZip, which also supports Mac. The file will be compatible with WinZip on the windows side for sure. (I am not affiliated with WinZip).