Long story short, italics on savoir vivre, but not on caballero is correct.
Searching "caballero" and scrolling to the bottom you'll see:
This is on the bottom of every definition, including those in the abridged dictionary.
If you search "savoir vivre" on MW and scroll down to the bottom you'll see:
This means that it's not in the abridged MW and hence needs italics (if it's indeed a foreign word).
I wish there was a better way to tell from the website, especially since this does seem like something that could change in the future without warning, but for now that's the easiest way I know to tell if a word is in the abridged dictionary or not. Another way is to use the free MW phone app. The app only shows words in the abridged dictionary. For example it doesn't give any results for "savoir vivre."