We're just about to release a new version of Padarn, out ASP.NET Web Server for Windows CE.  This version brings SSL support as well as Basic and Digest authentication.  Another part of this release was trying to keep the footprint reasonably small.  Here's a screen shot of all of the assemblies needed for the entire engine implementation:

So yes, we have an ASP.NET web server with SSL and authentication support and it's just 305KB - and half of that is for SSL alone.