The breakpoints and watches will remain persistent as long as you're working on that project in that session with Simply Fortran.  So yes, you can recompile and cycle the debugger, and breakpoints and watches will survive.

They do not, however, get saved with your project at this time.  If you restart Simply Fortran, they'll be forgotten.  That feature isn't there, but I can pop it into 2.1, saving breakpoints and watches into the project file.

When we set breakpoints, watched-variables etc in particular subroutines for a particular executable, are they SAVE-able for the executable?  Should they survive a re-compilation?  What about when switching off the debugger then switching it on again?  Should they still be there after closing SF2 and re-starting?

I used to find it quite useful with the external debugger in SF1, that I could continue developing a piece of code, and find all the breakpoints still there after jumping in and out of it. 
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John