When during the install of a new SQL server instance you choose the Windows authentication , the sa login is disabled and set to an empty string.

So when you change the authentication from Windows to SQL Server , you have to enabled the sa login , but the password is set to an empty string. I tested it with SQL Server 2008, 2008 R2 and 2012.

If during the install , you choose the SQL Server ( or Mixed ) authentication , you have to provide a not empty string ( a good novelty in 2012 ) . When you change the authentication from mixed to Windows , the sa login is "disabled" but the password is kept. So , if later on , you change the authentication from Windows to mixed , the original value ( set to the install ) is always useable.