Keychain Access is a handy password management app developed by Apple and included in every MacOS version since 8.6. It stores your passwords, making your accounts more secure.
When you are creating a new account that is protected with a password, Keychain will offer to save the passcode so you do not need to remember it. VeePN also stores your passwords in the Keychain app for your convenience, if you issue such permission.
Keychain helps to enhance your informational security, as you can design one strong password and memorize it, instead of losing your passwords every time, or creating weak or similar ones to remember them.
Your Keychain password is, by default, the same as for your device, unless changed manually. If you do not want to see the message about saving a password every time, just choose the “Always allow” option. You will not see the message again.