In reality, there is little difference to the risks associated between the standard Sustanon/Cypionate/Enanthate and Nebido (in other words, all of them have the potential to cause oil or even air embolis that can in theory lead to pulmonary arrest, heart attack or even stroke depending on where it goes). However, the key difference is the amount given at a time. But that being said, the chances of dying on anything less than a considerably large barrel-full of the shorter acting Sustanon/Cypionate/Enanthate are virtually nill even if injected directly into a vein. But the same would not be true of the Nebido, and again because so much more is given of it at a time. That's absolutely not to say one should then stop aspirating on the shorter acting, lower amount types but it is a truth that its very, extremely unlikely to result in the otherwise theoretically possible consequences and in the standard dosing bracket of them. In fact, I'm sure most of the recoded causes of death due to oil-based T injections for these reasons, are because of the abusers that do a vial or two at a setting (the big ones). That'll certainly do it where a typical dose range wouldn't.
As to the sciatic nerve, its very unlikely to actually hit that whether in the glute (and even much less likely) or the thighs. As long as we stick to that upper and outermost quadrant and don't do any wild, down and side slanting with the needle angle, you're not going to hit it. As for the thighs, the sciatic runs very close to the femur towards the inside of the thighs and not on the outside or the side where you're supposed to be injecting at (along the vastus lateralis). In short, it is absolutely impossible to hit the sciatic in the thigh from IM in that location and which is fairly much the only option for the vast majority going the self-injection route (I sure know I can't twist around to get my glutes myself AND be able to actually see the barrel in the aspirating stage).
Anyway. I don't believe there would be any undo problems arising if one were to alternate between the Nebido and the Sustanon as circumstances permit (and I agree that is the best course of action. It's what I would do). T is T.