In that WoB Brandon doesn't say it would be a good idea to store a returned breath, just that it's possible. As long as generic breaths can be stored in nicrosil, he probably has to respond "yes" to that question.
I was thinking more about the many officials with a number of regular breaths. A single larkin could destroy a vast amount of wealth in a very short period of time. Or in the case of Vasher, presumably he's hanging on to a few breaths for awakening purposes, and using stormlight to survive each week. I don't think I want a larkin to be able to take away his awakening ability until he returns to Naalthis.
For that matter, what about a Naalthian who only has the single breath they were born with? Could a larkin steal that breath? I think breath needs to be too "sticky" for a Larkin to steal, otherwise there needs to be a very good reason why no one ever takes one to Naalthis.