Yes, the default behavior is to have only the login screen encrypted but it is possible to encrypt pages individually.
To encrypt the first page in admin we need to change file admin\login.php. Where it says "zen_redirect(zen_href_link(FILENAME_DEFAULT, '', 'NONSSL'));", if we change "NONSSL" to "SSL" it does the trick.
Likewise, the script in admin\includes\boxes\customers_dhtml.php will define five important pages that can be individually encrypted in the admin area such as customers, orders and paypal. Just change "NONSSL" to "SSL" where applicable.
Finally, we can encrypt additional pages by replacing "NONSSL" by "SSL" in pages such as "admin\orders.php" (e.g.: the button "Edit" in Customers/Orders can be encrypted by changing the "zen_redirect(zen_href_link(FILENAME_ORDERS, zen_get_all_get_params(array ('action')) . 'action=edit', 'NONSSL'));" line.
I should have done my homework before creating this thread. On the other hand I know that other people will find the discussion helpful.