Error "Password must be saved on login screen for command line actions" when scheduling action th (4240217)

When creating a Vault Action (export dataset) from the Action Palette and scheduling it through Windows Task Scheduler it throws an error when running the action from Start | Programs | Accesories | System Tools | Scheduled Task. It runs fine if you run the action directly from the Action Palette.

Below is the error returned by checking the action log:
Password must be saved on login screen for command line actions.
Database connection failure

1. Click Session | New Connection
2. Select the database connection where you want to run the scheduled task
3. Enter the password
4. On the bottom left corner of the login window, check on "Save passwords"
5. Connect
6. Close Toad
7. Open Toad, delete the action (export dataset)
8. Create a new action and schedule
9. Test the scheduled task by running it from Windows Scheduler