Thanks for the feedback!
It looks like you have found a bug (which I have now logged). If you set a font to be a "generic CSS" family (one of the first five options in the Font popup: Serif, Sans-serif, Cursive, Fantasy, Monospace), Xway doesn't save this correctly but reverts to Serif when a document is reopened.
However, there is an easy way to work around this. Instead of choosing "Fantasy", select "Other..." from the Font popup and use the New Font dialog to create a new specific font. Xway currently uses Papyrus as its default fantasy font, so you could type "Papyrus" as the name of the font and choose "Fantasy" in the Font Type popup. Text which uses this font will default to Papyrus in a browser (if that font is available) or will use a different fantasy font if Papyrus is not available. You can also type the names of alternative fallback fonts if you'd like to control which fonts a browser should choose before falling back on its own default fantasy font.