I tested the sample file with Adobe Reader for OS X, and although you didn't provide a password, it did prompt for one, whereas Preview.app just displayed a blank page. (And it would make sense that Adobe Reader for OS X would provide the same functionality as Adobe Reader for Windows).
Edit: I just created a 256-bit AES encrypted test PDF with Acrobat Pro on Windows, tried to open it with Adobe Reader on OS X and it succeeded.
Edit 2: I just installed Adobe Reader 9.3.3 in my Xubuntu install and it could open the same AES-encrypted PDF. As for stock Ubuntu, there is a bug for Evince (the PDF renderer) to try and get AES support.