Save files for the NES Classic are likely really, really small. All you are doing is saving the register values and RAM which point to the location of execution in code and what is currently loaded into RAM and on the NES that is tiny.
Also, video quality has nothing to do with the games, they are not remasters. It has to do with the emulation and after effects added and in some cases, the quality of the hardware outputting the signal.
As far as legality, I agree with the others, if you are hacking the NES Classic, you have already bailed on that whole legality thing - even if you own the carts, it is still questionable grey area.
I've got an NES Classic, and I LOVE it. It is a great little package for what it is. I thought about hacking more games into it, but instead just went with the Pi 3 for my expansion needs - I'd rather not risk messing up the NES Classic. My son spent the whole day yesterday playing SNES games on it. I have pretty much all of the games on the NES Classic also on the Pi, but the video quality and interface (short cords notwithstanding, I bought some extensions) is better on the NES Classic.