Oh great. The latest build on Insider Fast has broken Get External Data. I'll report that.
There is more than one way to change the status of whether or not the password will be saved. You can use VBA or you can use the Connection Properties dialog (I'm going from memory here). Try changing that status. If I remember right, you have to use the opposite setting from what you think (tell Excel not to save the password to get it to save the password). It really does work once you get things set up right.