I am really no expert on colour spaces, but from what little I do know ...
If you are processing RAW shots from the camera, the colour space it has set is largely irrelevant - it mainly affects the in-camera jpgs.
If you were using Nikon software to process images (you are not), Nikon's RAW converter might well recognise the camera setting and apply it to any TIF or jpg produced from the RAW image.
However, (as far as I know) Adobe, in LR and/or ACR in PS CS6 will not. I believe they will apply another setting that I believe may be specific to the LR/ACR and different from what's in PS CS6 (particularly with respect to image exporting from CS6) - but now I am mainly guessing.
So this may help explain what's happening in regard to colour spaces (even if I am partially mistaken).
The difference in the shade of the wall at the places identified by Graham's A, B, C vs D is perplexing - I'm sure I have noticed something similar (ages ago) in one of my own shots, it made my head hurt, so I am in denial - it never happened
It begs the question: what do you mean 'the camera never lies'?
Cheers, Dave