There are still a lot of unanswered questions, but here are my theories:
I think Hiro cannot simply go back and undo everything bad that happens. If he does, he creates a paradoxon - why should a Hiro in the altered timeline universe attempt to jump back in time and kill Sylar. Hiro needs a reason to stop Sylar - a nuclear destruction of New York is a good reason, but serial-murdering superheroes (and innocent bystanders) is still a good reason to take out Sylar.
Maybe that's also what the future Hiro referred to - there is a possible fall-out with his time-travel, so he must be careful.
What I am not sure about is wether it was always Peter that exploded -
It is possible that he didn't do it in the first time line. His dreams of him exploding appeared only after he saved Claire.
The reason for him or Sylar exploding might be a result of them fighting each other to a stand-still.
In the first iteration, Sylar went nuclear because this was the only way to stop Peter (who didn't have Claire's regeneration.)
In the second iteration, Peter went nuclear because this seemed the only way to stop Sylar (who didn't have claire's regeneration).
There are still a few holes in this theory, and it's obviously not necessary to have different people being the bomb. If it in fact are, my theory is the third bomb will be Ted.
The last show did indicate that Sylar and Nathan will meet (violently), and Sylar will also meet the illusionist before the battle. (Otherwise, he would have a hard time faking Nathan convincingly, and faking his death)
What I began to wonder regarding the previous episode:
If Ma Petrelli is acquinted with Linderman, does she also work for him? If he does, didn't Claire just run from one branch of Lindermans conspiracy (Primatech) to another one (Family Petrelli)? Or is there more going on?