this kind of happens in serveral things, IIS with NTLM auth also says it will save the password but never does.
SQL with Int. auth does not ask for a password.
Report server may or may not ask for a password depending on how it's opened (Lan or Internet)
I do think it's a bit of a pain and needs to be handled better in all applications.
I think that part of the problem is trying to have a std dialog but behind it having 2-3-4 different auth systems to talk to and the whole issue of the security (or lack of same) in how you store and re-use that password.
if you store it then you need to encryipt it. if you do that is it 2 way or one way (salt + hash) and which systems of auth can you use with 1 way .... there are a bunch of details there to sort out... not just the "store the password" thing.