This article explains why you may not be able to add an AppleShare server password to your Keychain.

In some instances, when connecting to an AppleShare server you may not able to add it to you keychain because the 'Add to Keychain' checkbox is dimmed (gray).

Figure 1 , "Add to Keychain" checkbox is dimmed

Server administrators can configure AppleShare IP 6 not to allow a computer to automatically log on. Having your password in a keychain can be unsecure if your keychain is unlocked. Not allowing a computer to automatically log on can improve security.