Sorry I haven't seen this behavior before, but there may be some clues here. I don't believe this issue is related to the Farm setup per say, and not directly to fault the app. It seems that there us a missing link to the workflow types when saving. It could be something has changed to the content type, a feature needs activated, or permissions are not appropriately in the right areas.

I would rule out the obvious first by checking that all features are activated for Nintex on both Site and Web. Try not to publish workflows as system account.

Question, when you ask about the .nwf file, you are looking to receive that file after Exporting, correct, not saving?

Actually turned out that the problem was not related to Nintex itself.

Something got wrong in the browser-level and all Sharepoint-related downloads (like "Export to Excel") failed with the same kind of behaviour. Restarting the local machine solved this issue.

Sorry for the trouble, though.