When you enter the credentials the first time you attach a WMS image and save the xwms file it does not save the credentials. When you open the DGN file again with the WMS image attached it prompts the user for the credentials.
There is no way to save the login information for a WMS server. There is no key-in to login to a WMS server which is remembered during the current session when it tries to load the WMS image from the WMS Server.You can editing the xwms file and add the user/password credentials manually.Example:http://username:password@www.wmsserver.com?