This is because the RtspStack used in OpenCV (I think live 555) does not send GET_PARAMETERin order to maintain it according to the transport header returned from the server at the time of the request PLAY.
You can manually save it using another RtspClient, such as the one included here.
http://net7mma.codeplex.com/
And send GET_PARAMETERevery few seconds to keep the stream in stream.