I could bet my willy right now that it's all bullshit, and i can give you two good reasons.
1) Sega, from the beginning of the Bayonetta 2 exclusivity thing, is playing low profile, tail between the legs type of thing. Not aggressive, not passive aggressive, not somehow that could indicate they've been hurt somehow, but rather like they are not too proud of something they did.
Additionaly, Nintendo is looking like they have thrown their weight on Sega, like they are in charge, like 'we are fixing your shit here, so keep a low profile and don't say much'.
If anything, the whole situation so far looks like it's PG that got buttfucked here.
2) The 'source' claims that PG used the Sega money to make another game. Ok, but which one? Because all the games they've developed since, including the upcoming, are funded by other publishers. There is no game in the pipeline that wasn't fully funded by some other publisher, so you can say this might be it.
Also, since then, they've had 3 business propositions, including Nintendo, Microsoft and Activision, huge players all, and some KojiPro meetings we actually know of. PG might have done something shady, and we could never learn about it, but those news spread in the industry, and with something like this, PG wouldn't have new deals. It's not like they are a multimillion seller and publishers couldn't do without them.
My 2 euro-cents.