I'm worried, since I have a Ledger Nano S

The Nano S version allegedly does not support this function. At least that's what it says right on its list of explanations about this "new" feature.
I really find it strange that they did something like that. It seems to me that they made a serious miscommunication and mis-explained this alleged feature. They end up opening a pandora's box, taking away the doubt whether it will be possible to be exploited by hackers or not. Whether these devices really have a back door or not.
I no longer used their program (I never liked it), much less now. I only use it for Bitcoin, I don't need any firmware updates. Even because I only connect it to Electrum.