Thank you all for the help. I followed the instructions with kdewallet-pam.
It still did not work. It produced the following error:
Failed to update connection mressex Error writing to file
'/etc/NetworkManager/system-connections/mressex': failed to create
file /etc/NetworkManager/system-connections/mressex.5T0PVY: No such
file or directory
I manually created the directory with sudo/mkdir, tried saving the connection/settings again and it worked! So it seems there may be a permission issue out of the box with either KDE/KWallet/NetworkManager/PAM or something.