The Nano S is a hardware wallet created by Ledger. A hardware wallet stores the private keys to Harmony tokens on a separate device, making it much harder for malicious parties to steal them. In fact, the private keys never leave the Nano S itself, so they will remain secure even if the device is connected to a compromised computer. As long as you follow best practices when using your Nano S, it is virtually impossible for an attacker to steal your funds.
We are currently working with the Ledger team to integrate Harmony ONE tokens on the Ledger Nano X as well.