Im gonna buy some mods and i use NMM mainly will buying a mod threw steam and still use NMM have consequences?

No, since the paid mods have no DRM and are in no technical way different from free mods.

No idea, tell what happens once you have done it

You can of course just donate to the mod maker though Nexus. Most of my favourite mods will never appear on Steam so its pretty much my only option.

If you want to show support then contact the mod author directly and ask them for a personal paypal to give them the money for the mod...don't support the system that makes things monetary and mandatory in games.