From here: https://serverfault.com/questions/396722/your-system-administrator-does-not-allow-the-use-of-saved-credentials-to-log-on

If you don't want to change local or server side GPOs:

Go to Control Panel -> Credential Manager on the local computer you are trying to connect from.
You will see three sections:

1. Windows Credentials
2. Certificate-Based Credentials
3. Generic Credentials

Remove the credentials from Windows Credentials and add it to Generic Credentials.