Debug STM32 with Nucleo
The board manual says it is used to connect an external debugging tool to debug the target MCU on the Nucleo board. However, I see no reason why the onboard ST-LINK debugger cannot be used to debug another target (as I have done this on another Nucleo board), but the on-board target needs to be disconnected from the ST-LINK debugger pins (physically, or loading a firmware that disables the target debugging port).
You don't need to create or load a bootloader. The STM32G474RE already has a non-erasable factory bootloader that allows user firmware to be loaded over USART, I2C, SPI, and USB interfaces. If you want to program a custom bootloader you can load it via the factory bootloader. You only need the JTAG connector if you want to debug or load firmware via JTAG. And I see no reason to not wanting to debug via JTAG, except when product is ready so final version can omit JTAG.