Well, Nexus is compatible with skins for ObjectDock v1.x skins (as well as most other docks). Not sure about v2.x skins, though.
As for only native Winstep skins appearing in the themes tab, that's because only native Winstep themes have bitmaps for the Shelf (tabbed dock) so only those are listed when the default 'Winstep Themes' filter is selected. To see all dock skins (including the 3rd party skins) you need to
a.) change the combo box at the top left of the Themes tab in Nexus Ultimate/WorkShelf Preferences from 'Winstep Themes' to 'Dock Themes'
b.) Open the Dock Properties dialog for a specific dock and go to that dock's Theme tab.
The first way of doing things changes themes for *all* currently open docks, the second only for that dock.
As for the INI files, still not sure what you mean, but just forget about it.