10.5.2 - the same problem
I've set up at my home closed (invisible SSID) wireless network using WPA2 Personal encryption. Everything worked fine for 3 days - as soon as I opened my laptop, it reconnected in 2-3 seconds! I was so happy -- until I went to my office and had to add there 2 additional locations and 2 additional wireless networks.
Returning home, my laptop couldn't find my closed network anymore, and showed only neighbours' networks. Every time I restarted my Mac I had to use Connection wizard to reconnect to my closed network. I deleted keychain, connected again and checked that password would be saved in Keychain. After restart the same problem again. So I had to change network from closed to visible, now Mac connects again. I sent bug report to Apple.