Your tank is just getting cycled, so while the readings are high, they're very much normal for where you're at. You don't need to set up any macroalgae yet, but it won't hurt.
If you're serious about eventually keeping SPS, you need to either stock lightly or find some way of nutrient export. Personally, I think the easiest way would be to skim heavily and dose carbon (NOPOX). Others use bio-pellets and GFO.
You can use macroalgae in either a turf scrubber or refugium. Turf scrubber would likely be better at nutrient export, but adding a refugium will give more space for 'pods to grow. I have a HOB refugium that works great for my 40 Breeder, I'm not sure if it'll fit on your 40 Nano.
There are many ways to make a reef tank work. You need to research the various options and pick out what works best for your budget, schedule and goals for the system. You don't need any macroalgae. But if you don't get nutrients under control by some other means, macroalgae (and other pests...) will likely fill up your tank regardless.