Game save files will stay with the console, cannot be transferred to microSDXC card.
The Nintendo Switch has 32GB of storage, some of which is reserved for use by the system, however the internal memory can be expanded with the addition of a microSDXC card. By default, everything is stored to the internal memory, although you can choose to store data like digital games, updates, and DLC on the microSDXC card.
However, game save data is only able to be stored on the system itself. We already knew all of this, but now we know that game save data is not able to be transferred from the system to the microSDXC card (thanks, IGN). The biggest concern with this is, if something were to happen to a player's console, there is no way for them to access their in-progress game should they need to get a replacement.
We've reached out to Nintendo for comment, and will update this post should we receive a response.
The Nintendo Switch releases tomorrow, March 3, for $299.