Hello, indeed the message is correct. You do not want to encrypt the application itself, but your personal data.
This is as if you would like to protect some text document files and you encrypt Text Edit or Microsoft Word.
So if you want to protect your emails in the Foxmail you have to protect the folder which contains the emails, and this is very probably not the application bundle, but instead some folder in your Documents folder, or in the Library or Library/Application Support folder.
Please contact their support and ask where is the private data kept and then protect that particular folder with Espionage.
Let me know how it went.
Rgds
Zsolt