It remembers for me, but their pull request emails always send the https link, which is annoying as shit. I emailed them about it, and their response was that they are trying to get everyone to use https, so no, they won't switch it or make it smarter.
I complained about this too, but for their new repo screen.
Argh. I like my SSH credentials, my GitHub password is not quite so secure.
It's a fairly recent addition to git (January 2012). You need at least version 1.7.9 to use credential caching. [1]