The Nu are definitely an enigmatic species. I certainly wondered about them in my first playthrough and since.
They may well be tied in with the entity. They certainly have magical properties.. although it was pointed out that only pink nu spekkio casted spells, the Nu way of fighting was pretty unique (hit for 1hp or down to 1hp). There were also many Nu in zeal, supporting the idea that they are magical beings. It is of note that you can defeat a nu, but you cant kill any. They range from ambivalent to helpful, and even the ones that fight you give you cool stuff. Then of course, there is belthasars Nu. It seems to be a robot, but it could be anything from a cyborg nu, a robot, or a regular nu. Was it built by Belthasar or did it exist in the future before?
The Nu are magical, and they also seem to be intelligent - but to what extent? While the hunting range Nu used primitive speech, that seemed to be intended to fit with that era. It doesn't seem like something that you can base any serious ideas on. While I don't think their intelligence is godly or on the scale of lavos, I think it is greater than human. They also seem to be mentally and emotionally different from humans in some undefined way.
The theory that all Nu are linked to each other across time is fascinating, and may be true. It's hard to comment further though.
Also, what is the lifespan of Nu? They may be very long-lived, especially considering the Nu in the blue pyramid being there for thousands of years as it said. Although the magic of the pyramid may have kept it in a sort of stasis, it still suggests that they are long-lived. I wonder where it disappears to?
It's been suggested that they are creations of zeal which were gated throughout time. However, I see them as a "dream species" of the planet representing an ideal/perfected form of life. The final form of spekkio being a nu suggests that. And so, that is the truth! that is my belief! at least for now...