Hello,
I can not beleive that we are the only one with this problem. I started a question about this issue a long time ago. (see https://social.technet.microsoft.com/Forums/windowsserver/en-US/03d614d5-5fb8-44ed-a2f7-3e439a62d265/web-passwords-not-saved-in-credential-manager?forum=winserverTS)
For now we had a workarround by using google chrome but because they will end the java and silverlight plugins we need to go back to Internet Explorer.
The problem:
When using Roaming Profiles in an RDS environment the Profiles are deleted at logoff (policy setting). The credential manager saves encrypted files in the directory "%USERPROFILE%\Appdata\Local\Microsoft\Vault . So when the profile is deleted at logoff the vault directory is lost and so are all the saved website passwords. So when we login to another server no saved website passwords are there.
So now we are testing with Universal Profile Disks. With UPD the localappdata folder is retained when logging into another server. BUT the credential manager is still not working properly.
When you save the passwords on server1 the passwords are saved in encrypted files in the users vault directory . When you login to server2 the files are still there but credential manager will not read them UNTIL you restart the credential manager service on that server. When restarting the service then Credential manager will read the vault directory and show the saved passwords.
I think the solution is that when a user logs on to a server then credential manager will need to read the password files in the vault directory. But that is not the case.
I hope that someone can help because this is crazy. I also contacted MS support but had no luck finding a engineer that understands the problem.