Mail Immediately forgets SMTP Password
I'm experiencing a similar issue. I've been doing some reading throughout the morning, and one possible solution I've found was covered here: http://osxdaily.com/2015/07/05/resolving-mail-problems-os-x-update/
Disabling 'automatically detect and maintain settings' seems to have cleared it up for me, however I'm not 100% sure that this will be your solution, as your screenshot shows that box already unchecked.