This does appear to be by design as stated by Paul.
The reason for this is that money can be spent using the apple store and there needs to be some form of protection around this for compliance sake. If you didn't have to enter a password and your machine was left unlocked, you could be bankrupt in the time it takes to nip to the fridge!
While this is unlikely, MACs are becoming more common in the workplace and this requirement exists among businesses.
With the need to repeatedly enter a password you are also somewhat more protected from unauthorised spending by viruses, malware etc. I know people argue "MAC's don't get viruses" - but this is wrong! They are simply LESS LIKELY to get them.
Normally, I'd expect this sort of password to be available for storage within KeyChain, but looks like its a no go :( There are some third party tools like http://www.keyboardmaestro.com/main/ which claim to be able to store these passwords for you - but I've never tried them as I am not happy with the idea of giving a password to a tool such as this knowing that the password is indirectly linked to my bank balance.
Sorry I couldn't be of much more help.