SSAS Error encountered in transport layer after saving and opening the file

Question

I am experiencing a really strange problem: When I connect to SSAS on an Azure VM everything works nicely the first time, I can create pivot tables using this connection. Then I save the file and open it another day and I can't connect anymore getting the message "An error was encountered in the transport layer". Creating a new file works fine at that same moment.

Edit: It's not that we don't want to be asked for credentials on opening of the file. We can't log in with the same credentials after saving and reopening the file. Saving the password does not help.

Edit2: 1) We create a excel workbook with a connection using credentials and make a pivot that works fine 2) We save and close the workbook 3) We re-open the workbook 4) We get an error message (an error was encountered in the transport layer) 5) We cannot login using the same credentials as before (We are, however, able to create a new connection in a new workbook using these credentials, but we'd like to save our created pivots)

We are familiar with the options to save the password and the runas command, but the problem is not that we don't want to type the password, the problem is that we cannot connect anymore.