This is a bug in the provider. To avoid it, you have several options:
- Go in the dialog to the 'All' tab and set the option 'Persist Security Info' to true. Afterwards the password should be saved.
- Extend the connection string manually with the parameter 'Password=********;'.
- Use instead of user name/password the integrated Windows security.
- Use the 'Microsoft OLE DB Provider for SQL Server instead which does not have this problem.