I'm starting to think that the MC Is connected to Morgana in more ways then one.. Maybe she's connected to the MC Spiritually and is the reason why we can't get in The Nexus? (Also I am hopin' that the Characters in the Nexus like Asteria and the others aren't dead or somethin'... I mean you wouldn't do that right Arc?)
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So far I don't see any reason for them to be harmed. They are in a separate dimensions and war physically takes place in the city. As I understand not even other human cities are affected. War is contained within the city borders.
So unless Arc comes up with the reason why war would bleed through Nexus, but not physically (through Org's blockade) they should be ok