I am having the same problem. I have a 4th gen time capsule, with an external USB drive. Every time I move to access the thing in Finder, I am challenged for the device password, which I keep entering, and I keep checking the box to allow the password to be remembered in keychain. It never does. The next time I want to access the drive - same thing - manual password entry.
Not the end of the world, but the lack of automation is irritating, and not in line with the "It Just Works" mantra of Apple.
Tesserax, I am not certain why deleting the network password in keychain would help this. I did delete and recreate the device passwords in keychain, but without benefit. The network password allows your machine to auto-remember the WAN password in your environment - it should not have anything to do with disk level access on the time capsule.
Would be grateful to anyone who has discovered how to make the auto-password-authentication automation for time capsule hard drive access work!
Oh....I should mention that my system includes a late 2013 MBP 15", with all the latest updates and no non-Apple parts attached, the aforementioned 4th gen time capsule, and an unremarkable 1 gig USB-3 drive hooked to that time capsule.
I also have a 5th gen TC, and am having the exact same problem with it, so this isn't a time-capsule machine specific issue. This is software or firmware - whether on the time capsules or within Mac OS, I don't know.
Thank you.