Ubuntu doesn't have that cool utility that Red Hat and CentOS have, so you'll have to set a GRUB 2 password by hand-editing a configuration file.
In the /etc/grub.d/ directory, you'll see the files that make up the GRUB 2 configuration:
donnie@ubuntu3:/etc/grub.d$ ls -ltotal 76-rwxr-xr-x 1 root root 9791 Oct 12 16:48 00_header-rwxr-xr-x 1 root root 6258 Mar 15 2016 05_debian_theme-rwxr-xr-x 1 root root 12512 Oct 12 16:48 10_linux-rwxr-xr-x 1 root root 11082 Oct 12 16:48 20_linux_xen-rwxr-xr-x 1 root root 11692 Oct 12 16:48 30_os-prober-rwxr-xr-x 1 root root 1418 Oct 12 16:48 30_uefi-firmware-rwxr-xr-x 1 root root 214 Oct 12 16:48 40_custom-rwxr-xr-x 1 root root 216 Oct 12 16:48 41_custom-rw-r--r-- ...
