Welcome to the forum.
Unlike other stones, I would not recommend rubbing diamond stones together. I started with the knives I cared least about first then worked from there. It is not so much that the diamond stones “need” to be broken as in as that they won’t perform to their best until they are. I.e. you won’t get a sharp of an edge as possible for the first few knives that you will get later. There is also a bit of learning curve so while the diamond stones are getting broken it you are getting better with you technique, etc.
As far a nicks go. It just depends on how deep the nick is. Just keep grinding with the 100# diamonds until you get it out. Unless it is super deep, then you either live with it or grind off a lot of metal. Sounds like a blade with nicks in it is a good one to start with. Here I assume you have the nicks to start with before sharpening.
If you are talking about nicks after using the Wicked Edge, then: yes, you will have a “toothy” edge (especially with new stones) after the 100 and 200 grits. By 800 to 1000 it should be gone. Also lighten up your pressure. That will help. When I think it is time to go to the next grit (by “feel”) I do some more strokes 10-20 per side and try to focus using even less pressure than before.
Best advice I can give is don’t give up or get disappointed with your first knife or two. It took me to knife #5 to really feel like I was getting it super sharp (between stone break in and developing my technique). I took my first blade and sharpened again as #6. It was much better the second time around. The WE can produce amazing results, it does take a little practice.