More usefully, look at the placebo arm before concluding anything about attribution. The placebo-arm rates for most of these events are not small, because the events themselves are common in the underlying population.
Injection-site reactions are more often diluent-related than peptide-related. Benzyl alcohol sensitivity is uncommon but real, and it presents as a consistent local reaction at every site with a preserved diluent and no reaction with an unpreserved one — which is a straightforward thing to establish. Injection depth is the other common cause: intradermal placement stings and welts, subcutaneous placement usually does not.
Specifically, distinguishing an injection-site nodule from an infection: a nodule is firm, non-tender or mildly tender, not warm, not expanding, and appears within a day or two. Cellulitis is warm, tender, expanding, and often accompanied by systemic features. A sterile abscess sits between the two and is fluctuant. Warmth plus expansion plus fever is the combination that stops being a forum question.
The limitation of the timing heuristic is that it works well for common events and poorly for rare ones, which are precisely the ones that matter most.
Fix the fixable causes first — fluid, electrolytes, sleep, intake — before concluding that the compound is responsible.