Passwords are not saved in shortcuts created within SAPGUI.
In fact, when you edit a shortcut the password field is grayed out.
Why? Because you need to first register the SAPshortcuts using:
sapshcut -register
SAPSHCUT.exe is located under the SAPpcsapgui directory.
In SAPGUI 4.0 it was called SAPSH.exe.
Once you do the registration you need to open the registry (regedit or regedt32) and change the value data of "EnablePassword" to "1" under:
[HKCU]\Software\SAP\SAPShortcut\Security
Then, you will be able to type and save your passwords.