Here is a workaround that I've used. It's lame, but in the absence of a real fix, this works for me!
Add another hostname for the server. An example of this would be, if you are trying to get it to remember the name for "coolserver1" then create yourself a hostname that resolves to the same server but by a different name, perhaps "mycoolserver" or something like that.
You can do that by adding an entry to your hostfile (c:\windows\system32\drivers\ets\hosts), or by some DNS or other Windows/AD trickery. The point being that you can now address that server by a new "name."
Then, use that new name in the connect dialog, with your name/password, and hit the "remember me" checkbox, and it really will remember you :)
Enjoy!