To learn when and how passwords are saved to stored session and remembered in memory please read:
https://winscp.net/eng/docs/security_credentials

I understand the checkbox is for security and I wasn't saying it should be removed, I was just suggesting it be moved to the initial form...

From a security perspective you may not want your passwords for various FTP sites etc saved with the connection details.

So the 'double confirmation' allows you to save a connection profile; and then confirm if you wish to save the password.

For a single user connecting from 1 pc to an FTP site with the remotest possibility of anyone else using it; saving the password is fine. However it may be that your in a place that the PC can be accessed by anyone and you require the password not to be saved to prevent anyone accidentally or otherwise accessing your secure files.

The program and theory behind this is sound even if you don't think so; I can see your point but you've gotta look at this from both a single and multi user view and with security in mind.
Then you've got to justify modifying all that (which works perfectly fine!) instead of spending resource time on fixing bugs with actual functionality.

When I create a new session I enter in all the information including the password, then I click "Save" thinking all the info I just entered is going to save. But I have to select the checkbox on the next screen to save the password. It just seems like a two step process when it doesn't have to be.

well if you just login without saving the session then it should just ignore the checkbox.

if someone is going to login without saving the session they would most likely ignore the checkbox anyway.

I would find that confusing.
What problem do you have with the checkbox on the save session dialog?

well if you just login without saving the session then it should just ignore the checkbox.

if someone is going to login without saving the session they would most likely ignore the checkbox anyway.

how about putting the "Save password" checkbox on the form when adding/editing the session rather than after clicking save?

Because on that form, you may not intend to save the session (you may press Connect directly).

how about putting the "Save password" checkbox on the form when adding/editing the session rather than after clicking save?

You have to check Save password. See documentation.

When saving a session the password field is not saving.