Saving as a MIDI file (Type 1) doesn't effect anything, i.e. keeping all effects the same.

There is a notice/hint about this. It's better (IMHO) to use local tempo changes, as proposed in the hint (cf the tips that can be displayed when starting the software).
It concerns both Breath Marks and Fermatas.
Note that for good play back in NWC, only one of them (vertically speaking) must be set with a value.