When you make the shortcut in SAPGUI password field is disabled.

thats why you can not enter and save the password with shortcuts.
for enabling the password field first you should register the
shortcuts.for this

Go to \SAP\FrontEnd\SapGui Directory and run the command

sapshcut -register

after that a variable is created in windows registry.

Go to registry editor (regedit).

Go to HKEY-local-user\software\sap\sapshortcut\security

there is a variable EnablePassword with value 0 make it 1.

and close registry editor and make the shourtcut throught the SAPGUI.
now you can enter the Password and save it.