MySQL Workbench Loses Saved Connections
Did you get the very, very latest?  

The latest stable build (here) is 5.1.19.  However, the bug fix has been put in place for 5.2.21 (per here). 

The absolute latest version available is 5.2.34, which should have the bug fix.  However, that's not the latest stable version; it's just the latest generally available (GA) version.  (It's available here, for what it's worth.)



Edit



Since you have the latest version (with the alleged bug fix), I would report this as a new bug.  

My only advice... Try to figure out if there is an exact sequence of steps that you can perform to make this happen every time.  Then give them all the information you can (including the version number you're using).