Hi John,
It seems that Document Connection doesn’t store your password. Do you mean that you can’t find ‘com.microsoft.DocumentConnection.plist’ in the User Library > Preferences?
If so, could you please try deleting the connection to your SharePoint site and re-add the connection again to see whether the issue persists. We’d like to help you solve the issue, once you get any results or updates, please feel free to post back.
Moreover, could you please check the version of your Office 2011?
Thanks,
August