Separate password to open secondary vault

Welcome to the forum, @Ignis! I'm sorry for the confusion. In order to be "1Password" - in other words, in order for users to be able to access all of their data in all vaults with just a single password (instead of having to remember two or three or half a dozen (presumably) long, strong vault passwords, one for each vault) - we "escrow" the keys of secondary vaults inside the Primary vault. The Primary vault is the one you created when you first began using 1Password, and it's the Master Password that opens 1Password. As you add secondary vaults, you need to give each of them unique vault passwords (in case you ever want to sync them/share them elsewhere), but you still only need your ONE Master Password to unlock all of 1Password.

I think it is a very simple useful feature but I don't find how to set that up.

You haven't been able to find how to set it up because this is anything but a simple feature. It's literally the heart of 1Password's design (well, one of main hallmarks, anyway): the ability to unlock all data with ONE password. We're usually open to entertaining feature requests and suggestions, but on this one, I can tell you we probably won't be re-working the entire key structure to allow for this ability.

@Ignis - oh, please don't misunderstand me: I'm glad you asked, and it wasn't a silly question. In fact, this is now 1Password 4 for Windows worked, and it's also how 1Password for Mac worked for a while...under the hood. But as we've gone on, we've made changes to how the unlocking process works, because allowing separate vault unlock caused more problems than it solved, and there weren't that many users who even knew it existed, let alone made use of it consciously.