... another thing - you could see if there any entries in Keychain Access for the server(s) you can't save passwords for, and remove only those entries, then try again.
The only other option if Keychain doesn't want to play, is to have Yummy store the passwords in the Bookmarks themselves - they're encrypted, so don't worry about that. To do this, simply disable the 'Store passwords in Keychain' option in the Server Options panel of the Preferences
Let me know how you get on.