Some of the limitations you mention are either explained, or he knows about. He actually wrote several blog posts about it, which is why I know it exists because I pop in there from time to time.
here are some of his progress reports:
Back to BASIC This is where he initially talks about it.
BASIC status report 2011/06/27BASIC status report 2011/07/27GW-BASICGW-BASIC 0.1.4Control-Break probably isn't implemented for a good reason. Considering he had to write rather complex workarounds just to get the state of the shift key, I imagine catching Control-Break would be an even bigger pain in the rear.
I believe the Blink is missing because that was more a property of the Display Adapter; that is, if you wrote characters with the color bit set in a specific way, some of the RAMDAC's on the VGA board would cause it to blink. (I'm not 100% on that, but I'm fairly sure it wasn't implemented by GW-BASIC itself).
Reading some of the posts (again), his implementation is per-pixel, which is to say he is drawing everything manually, including the fonts. if I had to guess, I'd think that blinking would require refreshing the screen more frequently, and checking colour bits, perhaps only drawing if the millisecond of the current time is below 500, or if the second is divisible by 2, etc. That is, possible, but the feature itself was technically a display adapter feature.
From what I understand, you can save online, or something. I think it goes to your skydrive, but I've not actually had the chance to run it myself, since I don't have silverlight installed. I highly doubt it compiles, and probably only saves to plaintext. Rather than the tokenized binary format GW-BASIC would save by default.