Any one of the 4 options below can be stopping your system from remembering passwords on DUN.

Make sure you have Client for Microsoft Networks installed on your system. Control Panel / Networking / Add / Client / Microsoft / Microsoft Networking. 

Your Windows startup is configured to ask for a password and you are hitting the esc key when the logon box is displayed. 

You have a corrupted password file. Do a search for *.pwl in the Windows folder and rename all the files you find. This will force you to rebuild your password files from scratch. 

Navigate to: HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\Network\Real Mode Net. 
If you see autologon (on the right side) with a value of "00 00 00 00", double-click on it, and change the value to "01 00 00 00 00". 
Restart Windows. 

Key:[HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\Network\Real Mode Net]
Data Type: REG_DWORD