I haven't read the comics, so my list might be incomplete. As far as I'm aware of, there are 3 Nexuses. One is an internet company mentioned in Age of Ultron, so that won't be it. The 2nd I can't remember right now *facepalm* - okay, now it's definitely incomplete. And the 3rd is a connection between dimensions. Wanda is a Nexus Being, she exists in all dimensions.
What confused me about the commercial was that all the other ones had been references to past events (except maybe the shark yoghurt one - still no idea what that one is about).

I love the "Agnes" wordplay! I wish we could have seen more of her witch outfit. The little we got to see looked pretty cool.

I've encountered no theories about the protected witness. I hope that character wasn't just a pretext to bring Jimmy in. I mean, I'm glad he's there, but I find that witness intriguing, so I want that to lead somewhere.
Hey, I just came up with an idea: What if Fred exists and he's the witness? That'd would be funny.