In Clubspaces v2.0+ sites:

The site level password protects all pages on the site. Where as a page level password only protects one specific page.

In Clubspaces v1.0 sites:

The site level password protects all pages on the site except for the home page and the contact us page.  To turn this protection on and off, contact the Clubspace support team.  A page level password can be created for all custom pages by filling in the password field on the custom page editor.  If  a custom page is given  a page level password,  then this password replaces the site level password  and must be entered for access to this page.  If the site level password is disabled, then none of the site's pages-including custom pages-will require passwords.