I’ve spent a few years working with SQL Server encryption and security, trying to educate people on the various capabilities involved. There are some nice features available in the platform that can help you run a more secure SQL Server, but there has been a lot of room for improvement across the last few versions. The openness of the platform is somewhat tempered by the need for each of us to write a fair amount of code to properly secure our databases. That is the hard part as many developers don't write secure code.
That is changing a bit. I am really excited about the SQL Server 2016 release in that there are a number of data protection mechanisms that are going to greatly expand how we can protect our data moving forward. From Row Level Security to Always Encrypted to Dynamic Data Masking, the number of new features that will help make security a bit easier is growing dramatically.
I certainly think Microsoft is definitely encouraging and supporting better, more secure coding practices. If you look in Books Online at MSDN, there is now a Security Center that covers a number of topics and organizes information in a much better way. Security has seemed like an afterthought in past documentation. From Encryption to SQL Injection to Auditing to even Metadata Visibility, it seems like the next version of SQL Server on premise, and in Azure, really is taking security more seriously.
I look forward to watching the platform evolve and security increasing over time. It does seem as though SQL Server has the fewest security holes in the platform, but I hope that many of us can take advantage of the changes in SQL Server over time and build applications that will be viewed as being secure as well.