RDP is remembering the credentials OK, because you can connect to the box OK. It's the server itself that is then asking for the Administrator password again. It's Windows Server 2016. Maybe there was a Windows Server update rolled out. I checked the group policy on the server, and that has disabled the need to enter a password when you remote in.
But then again, when I log in with the other tool, it doesn't ask for an additional password, so maybe Win 10 updated the RDP client and broke it.