I only have one application (MacJournal) protected by Espionage, and usually when I open it, I get the password prompt from Espionage. But there have been a few times that the application has opened without any password challenge. This occurred after the application had been quit from the previous use and some time had passed before using the application again. I always launch the application from the dock. Unfortunately, I have not been able to reproduce the error for diagnostic purposes, so maybe you could tell what to try or look out for.
One situation in which we're aware of this happening is if you launch the application shortly after quitting it. Espionage intentionally waits a few seconds before locking the application's folder after it quits; this is to facilitate smooth application updates via software such as Sparkle (http://sparkle.andymatuschak.org/).