As with everyone else, I think you were BVU. You asked for an opinion and got it. Don't ask an open question if you only want a specific answer.
Your nephew had a list of things he really wanted for Christmas ... why would you disregard that? It's like saying to a dinner party host "Do you need me to bring anything?", being asked to bring some red wine, then showing up with bottles of beer, because they obviously like to drink so why not go and buy some beer that you think they'll like instead of what they asked for? If your nephew's list was full of expensive things then you would not be U to go off list if your budget was tight, but if you had £40 to spend, why not either get him something from the list, £40 in vouchers "to put towards the X I know you really want" or a combination of a small off list gift and then a contribution in cash/vouchers towards a big ticket item he wants?
I am 25 and a huge Harry Potter fan, and have been since age 12 when I read the first book and have a lot of HP merchandise - I have framed posters, movie prints, calenders, ornaments, books etc all over my house (I even have HP baubles on my tree and I'm quite sad I have to put them away till next year) ... I hate Lego, I was never interested in it and would never play with it. If you bought me a Harry Potter lego set, I'd probably thank you and then put it away in a cupboard bnever to be seen again, because it's not something I like.
My parents have never understood my HP addiction (they don't really understand the concept of fandom) but this year they bought me a 1000 piece Harry Potter jigsaw puzzle and I love it ... but it wasn't my main present. Since I was about 18 my parents have always been very open with the fact that buying for me is hard, esp as I could never think of things I wanted when asked, and so we basically developed a tradition that they would give me money or Amazon vouchers that I could use to buy my own gifts (which was esp useful when I lived abroad, so I didn't have to worry abut packing things) and then they would supplement the card of money with a few little presents so I had "somthing to open" on Christmas morning.
Every year in addition to the money, I get a selection box, something to wear (this year it was a nice top), some toiletries (this year a bottle of my favourite DKNY NY perfume) and then some token fandom item like a book/CD/DVD/game from one of my fandoms (This year my HP puzzle but in the past it's been a football trivia game, the Les Mis 25th anniversary concert DVD etc).
If my parents decided this year that instead of that implied list they would buy me a big HP Lego set, I'd be disappointed because they would have wasted a lot of their hard earned money on something that wouldn't be used and I'd want to be honest and tell them that so that they could either get their money back or let me exchange it for something I would use. In addition to that, I'd want to let them know mostly so that they knew it was off the mark and didn't buy similar things in the future and waste even more money, because they thought it went down really well and stuck with the theme for the following gifting occasion.