Stated carefully, the glucose-dependence is the key property. Below about four millimoles per litre the insulinotropic effect largely disappears, which is why monotherapy hypoglycaemia is uncommon.
Central effects reach the arcuate nucleus and the area postrema, regions with an incomplete blood-brain barrier. That anatomy is why a large peptide can act centrally at all, and it also explains the nausea, since the area postrema is the chemoreceptor trigger zone.
Receptor density and downstream coupling differ between tissues, so the dose-response curves for glycaemia, weight and nausea are not the same curve. That is the pharmacological basis for titration.
Area postrema involvement in nausea from this class is supported by lesion studies in animals and by the anatomy of the circumventricular organs.
A receptor being expressed in a tissue does not establish that activating it there matters at therapeutic exposures.
Tissue distribution first, then signalling. Nearly every question in this tag resolves at the first step.