I apologize in advance for this question but I'm trying to recreate this issue in a VM at the moment:
To confirm, it sounds like you're receiving the `ksshaskpass` dialog which would point to the environmental variables being properly set. Do you see `Remember Password` in that dialog and is it checked? So far, in the VM I have, following the steps that you listed successfully saves the password as long as I have the `Remember Password` checkbox checked.