Hi,
To nail down the cause of the problem.
1. To the same user, could you change the password by SQL statement in SQL Server directly?
2. When the error message shows out, do you find anything in Event Viewer?
3. Use SQL Server Profile to track the sql script.
4. Use Process Monitor to check if there is any access deny when you change the password.
If you find anything new, please update here.
Regards