The credentials for the VPN are not related to the credentials for mapping drives, they have no shared knowledge.
Windows has a long history of refusing to save share passwords as expected. Some versions you have to go into the user account settings and manually add an entry for the server and password. Others you can get away with accessing \x.x.x.x directly and then checking "save password", either way, that's all up to the client OS, not the VPN.