It does appear that the behaviour has changed. In CS5, the opacity setting for a shape layer was "remembered" when drawing a new shape layer.
If you need to stack a bunch of shape layers on top of each other at reduced opacities so that they build up gradually, the best thing I can suggest is to press a number key when you start your new shape layer. Example, pressing 2 will change a layer's opacity to 20%. Pressing 2-4 will make it 24%, etc. It's quicker than using your mouse.