Windows do not allow saving password in rdp files. Even if I select "Allow me to save credentials" while connection via Remote Desktop Connection.
After searching a lot, I found that it requires modifying entry "Do not allow passwords to be saved" to "Disabled" in Group Policy under Computer Configuration -> Windows Components -> Remote Desktop Services -> Remote Desktop Connection Client.
However, after doing so it is still not allowing me to save password. Let me know if there's some other setting that needs to be done.