For the more obvious ones, a FADEW will be ignored if no FADE has been called before (rather than suspended indefinitely). A FADEW will also be ignored if a previous FADE has fully completed before the FADEW is issued.
On the more interesting tests, FADEW is not restricted to FADEs from just the current script. If you call a FADE in one entity, and then whilst the FADE is being completed a FADEW is encountered in another entity, that entity's script will wait for the fade to be completed. What I did was in Wutai, with the kid running around the save point, was replace all his WAITs in his walk cycle with FADEW. He ran around without stopping until I talked to the woman whose entity I made issue a FADE when pressed, and then after the kid completed his MOVEs to where he would normally WAIT, he paused until the FADE had completed (then carried on running as usual, without stopping still, because prior FADEs had completed).