It does store the password in the connection manager.

However, if you open up the editor for the connection manager, it will not show you the password (that would be insecure).

But, because you opened up the editor, it expects that you retype the password, at least if you click OK. If you don't, you actually put in an empty password. If you click cancel, you don't have to retype it.

To check if everything works: close the package and reopen it. Without opening anything, run the package. If it works, the connection password is succesfully saved into the package.