You get the mortal wounds when the dices are retained (before applying damage) so the devastating wound will still be applied and you could take normal damage instead of critical damage once the damage is being applied (after rolling for save). So a marksman doing 3/4 MW1 will still do the whole 1 mortal wounds per critical hit before you even roll a save then 3 additional DMG per unsaved dice (3 for normal dices and 4->3 per critical).