I've seen some videos analyzing the differences between the wallets and the levels of security they provide. One interesting feature is Coldcard's ability to sign transactions without being plugged into a computer.
Has there ever been a case where a user's bitcoin had been stolen by way of simply connecting the hardware wallet to the computer?
No. Hardware wallets are designed specifically to deter these kinds of attack. The USB interface should not leak any private keys and all the signing of the transactions should be done within the hardware wallet itself. ColdCard's ability to sign transactions with only the SD card can be a bit of a hassle for some as compared to the better UI offered by both Ledger and Trezor.
I ask because I own both Ledger and Trezor products and I am wondering if I should upgrade for security purposes. Are Ledger and Trezor products inferior because they require to be plugged into the USB? When does security become paranoia?
That's not a point to consider. If they can leak private keys with the USB interface, I can guarantee no one would use their devices any more. You should be considering the vulnerabilities reported on both Ledger and Trezor. For example, Trezor is vulnerable to seed extraction attack[1] for which AFAIK Trezor offered a workaround but never a fix. Ledger also has it's fair share of vulnerabilities [2]. For both companies, you'll be happy to hear that there isn't any known vulnerabilities which doesn't requires physical access as of now.
[1]
https://donjon.ledger.com/Unfixable-Key-Extraction-Attack-on-Trezor/[2]
https://donjon.ledger.com/lsb/014/