OS X Keychain keeps prompting me for my SSH passphrase even though I save it (OS X 10.6.8)

Question

Every time I log in to a remote server with SSH, OS X keychain prompts me to remember the SSH passphrase. I type in the passphrase and check the box to remember it. I then connect ok to the server but then the next time I get prompted again and so on...

I have a private key to ssh into my server and the connection works. In my hosts file I have:

Host myhost
    HostName xxx.xxx.xxx.xx
    GlobalKnownHostsFile ~/.ssh/known_hosts
    port 22
    User myuser
    IdentityFile ~/.ssh/mykey_dsa
    IdentitiesOnly yes

.. and then I type ssh myhost

This is only a recent problem so I suspect and issue with Keychain? To be clear, I can 're-add' to keychain every time and connect but this defats the purpose. The permissions on my dsa key are set at 600 or -rw-------@

I tried repairing disk permissions but that did no good. My Google-foo is also failing me, nothing of use came up. So I am not sure if this an OS X / keychain issue or an SSH issue.

update: When I try ssh -vvv myhost, I think it reveals the issue:

debug1: Trying private key: /Users/danny/.ssh/mykey_dsa
debug1: PEM_read_PrivateKey failed
debug1: read PEM private key done: type <unknown>
debug3: Not a RSA1 key file /Users/danny/.ssh/mykey_dsa.
debug1: read PEM private key done: type DSA
Identity added: /Users/danny/.ssh/mykey_dsa (/Users/danny/.ssh/mykey_dsa)
debug1: read PEM private key done: type DSA
debug3: sign_and_send_pubkey
debug2: we sent a publickey packet, wait for reply
debug1: Authentication succeeded (publickey).

... and after that I get connected. I think this crux of the matter is:

PEM_read_PrivateKey failed

Update 2: After trying the same key and settings on another Mac with 10.6.8 as well, everything worked fine so I think this is a Mac specific question, possibly a permissions keychain issue.

Update 3 I also tried a clean install of Mountain Lion (10.8.1) and alas the same issue which I totally don't get.

Possibly related: https://discussions.apple.com/thread/3518441?start=0&tstart=0

Update 4 This is the answer