And as to Thordan and Nero's things, I think they just have entirely mundane answers.

Thordan was terrified of us, we just kicked the ass of him and the entire Knights Twelve right as he held what he thought was power enough to control the entire world. Couple that with the fact he's a man of faith, obviously he's going to see us as something great and horrifying in that framework; either an angel of retribution or a demon depending on where he was mentally in his last moments.

The object Nero tossed out was the comm unit attached to his Tribunus suit (the one he speaks into in the Praetorium). This is after his speech talking about basically turning away from what he knew and pursuing the new unknown, so he basically did the equivalent of throwing his phone into the sea to quit his job. The warbly sound that follows is pretty close to the sound it makes when he starts talking to Cid through it in the Praetorium, so it's definitely the sound of someone--probably either the Ironworks or the Empire--trying to get ahold of the guy.

Not everything is obliquely foreshadowing future events--in fact this game kinda doesn't do oblique foreshadowing, it does proud 'To Be Continued' splash screens and callbacks to parts of resolved stories (You wouldn't call Alexander foreshadowing of Shadowbringers, for example). Sometimes characters just have emotional beats, and the cutscene direction accentuates them.