Yeah a 2.9L would be a big-time slug with 4.10s & 33s for sure. (even my 4.0L feels like it's being held back a little bit with that combo on mine).
The M5OD overdrive is 0.79:1, so you should be somewhere around 2540 RPM @ 65 w the 4.56 & 31s. You might even give 4.88s some thought if 33s are in your future.
As for Nitro vs. Yukon, I would agree, try for the Yukons first, though it could wind up depending on what ratio you're getting which brand you end up with. (Yukon's been hit-or-miss the last few years with the deeper ratios). I have not heard anything negative about Nitro's gears however, so it might not actually matter (the care that goes in during their installation will matter 10× over what brand they are).