Do not change nursery. They seem to be a good one, and following CP rules and regulations.
Surely, it is better for a hundred innocent parents/carers are interviewed about an unxplained injury to a child, than one serious case is missed.
A few years back, my Son in Law was checked by SS. One of his children (aged 7 yrs old) was seen to have carpet burns on their back I (seen at school whilst changing for PE lesson). She was asked how this had happened and blithely said 'Daddy did it'!!! Therefore alarm bells!!!
What had actually happened, is that she had been having a sulk (she was a champion sulker) and lying on the landing floor at the top of the stairs. Dad had asked, several times that she move so that he could take baby down the stairs safely for his breakfast. She refused and eventually he had put baby down, and stretched out towards her (meaning to remove her from that place), she had pulled away, lost her balance and fallen down a few stairs before he had managed to grab her and prevent her falling further. However, as she was not wearing much a the time, (she was sulking as she said she did not want to get dressed), she had substained that carpet burn.
This was made all the worse, when both her parents tried to explain toher after the SS visit what it was all about, and perhaps she shoudl think more carefully before telling teachers it was Dad (or Mums) fault in future. So, when a couple of weeks later a teacher asked if everything was okay at home she then told them that she was not allowed to talk to them about that!!!
Okay this all happened several years ago and this 'child' is happily esconsced at University now.
To my mind I am so happy that SS are doing the job they are supposed to do. So many of them have such serious hsortage of staff they are unable to follow up such reports. Surely, prevention is so much the best policy.