You will have to un-share the workbook  to add/change/remove protection  on any
sheet. There are many things that cannot be done while a workbook is shared. See
the Excel Help topic "Features that are unavailable in shared workbooks".

I believe you need to:
1. Unshare the workbook. This deletes the change history also (again, see
Excel's Help topics).
2. protect  sheets with passwords as desired. The protection and passwords
cannot be changed once you share the workbook again.
3. Any macros you want to run in the shared workbook must exist in it before
it is shared, and must not use features that are unavailable in shared workbooks
(such as creating new pivot tables).
4. Reshare the workbook.