Aren't the Nu litterally a being? They are everywhere in all time periods effectively linking them. Perhaps even pulling all timelines together.
In dutch "nu" means "now, at this moment in time".
I think their function could be to point out to people/the characters the presence, if not the importance, of the moment in time itself.
In spite of all the time travel and talk about things of the past and threaths and possibillities in the future, all you ever really experience is now. (I know this last thing to be true in theory even if I don't allways
experience things that way)
And what better way to experience "now/nu" than an all-hitpoints-but-one-consuming blow by a big blue entity who's job seems to be to put up a tough fight. Just to remind you where you are.
They don't seem malevolent or engaged, more like part of a system, ever present. They don't come looking for you but if you're willing to experience the moment they'll let you.
There are obvious flaws in the arguements and thoughts in this post, some of which language related, but maybe it can still be a useful contribution.