This might rather be a problem on the Windows side with the DAV integration.
What Windows version do you use? What steps did you perform on Windows to bind NC as network drive?
I haven’t done this myself yet, so I’m not sure of errors would be written into the Windows event logs, but maybe you can have a look at them, if you find some related entries. If so, what do they read?
Without knowing the requested details I would suggest to try to clear all the entries for the NC connection in the “Control Panel → All Control Panel Items → Credential Manager”. Meaning, remove every entry that is network drive/ NC related.
Afterwards connect and enter the credentials again and check “save login credentials” again.
I had issues in the past, where the credential manager caused problems and clearing the entries helped. Maybe this applies to you as well.
And maybe this thread helps you a little:
Did you try the ideas mentioned here?