Today I did this shaman’s first run of Nexus. I completed it on Heroic difficulty with Defense Protocol Alpha active. Upon completing the dungeon, I was awarded the “The Nexus” and “Defense Protocol Alpha: The Nexus” achievements, but surprisingly not the “Heroic: The Nexus” achievement. The heroic achievement does have the other three bosses checked off.
I also experienced this bug. It’s not giving achievement credit when “Defense Protocol Alpha” is active.
Nexus was the heroic daily again, and I was awarded credit this time around. So either Blizzard fixed it (yay), or it is just inconsistent behavior (oh no)… but at least I have the achievement now.