Disclaimer: at the moment this is a partial answer since at least one key claim is unsubstantiated, despite being heavily suggested by computational evidence. Subject to updates if I manage to find a reasonable explanation.
Some notation points: we assume that between moves the players' indices are rotated such that the player $1$ is always next on the move (after the move $1$ becomes $5$, $5$ becomes $4$ and so on). We write $ab$ for player coalitions $\{a, b\}$, and $a^x b^y \ldots$ to denote boards "$x$ heaps of size $a$, $y$ heaps of size $b$, ..." I expect there to be no confusion between coalitions and nim boards.
Answer: I'm strongly convinced strange boards do not exist, and further, no board is simultaneously winning for coalitions $12, 23, 34, 45$. I was not able to find any kind of high-level strategic argument, and the perhaps the reasoning below is somewhat unspectacular (not to mention, incomplete at the time). For the computer evidence I have, I struggle to present it in a way that would be suitable in a human-readable explanation, and invite anyone interested to replicate my findings independently.
It is worth noting that, after generalizing to arbitrary DAG games, strange configurations do exist (see bottom of this answer), implying that the result is, at least to some extent, nim-specific, and abstract game-theoretic arguments are unlikely to exist.
Claim. No nim-board is winning simultaneously for coalitions $12, 23, 34, 45$.
We start by enumerating winning boards for the coalition $45$. Intuititevely, $45$'s actions are subtantially more limited than $123$'s, at least for boards with high degree of freedom. Running a computer analysis for boards of (up to) 10 heaps of size (up to) 10 yields the following:
Sub-claim 1. All boards winning for $45$ are of the form $1^{5k} + A$, where $A \in \{-, 1, 2, 1^2, 2^4, 2^33, 1^42, 1^43, 1^32^2, 1^32^5, 1^32^43, 1^22^6, 1^42^5\}$.
Limited to boards of the form $1^x2^y3^z$ with $y \leq 6, z \leq 1$, one can properly establish this by computer-assisted induction (again, I wasn't able to find any kind of nice argument). There should be general arguments for why boards containing $2^7$, $3^2$ or a heap $x \geq 4$ are always losing for $45$, although I believe those are likely to contain high amount of case analysis as well.
If we subscribe to believing Sub-claim 1, proving the rest amounts to finite amount of computation, which yields the following.
Sub-claim 2. All boards simultaneously winning for $34, 45$ are of the form $1^{5k} + A$, where $A \in \{-, 1, 2^4, 1^42, 1^32^5\}$.
Sub-claim 3. All boards simultaneously winning for $23, 34, 45$ are of the form $1^{5k}$.
Since $1^{5k}$ is losing for the coalition $12$, the main claim follows.
Strange DAG game. We argue that position $14$ of this DAG is winning for all 2-player coalitions.
To change the mood of the answer a little bit, here's a strategic proof.
Starting at positions $1, 2, 3$, the losing player is forced.
Any 2-player coalition containing $1$ can win from any position among $4, 5, 6$. Indeed, $1$ is not in danger of being left with no moves. Choosing between two options of the remaining number of moves, he is able to save his partner from losing.
Position $7$ is winning exactly for those 2-player coalitions $C$ that contain either $1$ or $2$.
- If $2 \in C$, he will win on the next move from any of $4, 5, 6$.
- Otherwise, if $1 \in C$, he still can't be the one to lose in the end, so he can choose among $4, 5, 6$ to deprive the opposition of the only option that makes his partner lose.
- Finally, if $1, 2 \not \in C$, the opposition forcibly wins by moving to position $1$ in 2 or 3 moves.
Any non-consecutive 2-player coalition wins from position $10$. The game will reach position $7$, and a non-consecutive coalition loses if it becomes $35$ by then. Depending on whether it takes 1 or 3 moves to get to position $7$, the potentially losing non-consecutive coalitions are $14$ and $13$, which can both avoid losing since they are on the move.
Still starting at position $10$, coalitions $12$ and $15$ win by choosing the correct route to $7$, and coalition $34$ will be happy to reach $7$ by any route to become either $23$ or $15$.
All 2-player coalitions except $45$ win starting at position $12$.
- All non-consecutive coalitions will be happy to move through position $10$, and the only coalition unhappy to move through $7$ is $14$, who is luckily on the move.
- All coalitions $12$, $23$, $34$ will by happy with the straight route to $7$, which $12$ is able to make happen. If the route goes to $10$ instead, $23$ and $34$ become $15$ and $12$ by then, and still win.
- Coalition $15$ will prefer to go through $10$, becoming $34$ by then, which is a win.
Finally, all 2-player coalitions win starting from $14$. Coalitions in danger of becoming $45$ by the time position $12$ is reached are $15$ and $12$, which both can happily avoid it.