If you are using a Ledger Nano with Electrum, then there are three things to consider:

1 - You don't need to worry about the tracking features in Ledger Live while you are not using Ledger Live. However, at some point you must have used Ledger Live in order to initialize your device, and you may use it again in the future to either update your device or install different apps.

2 - You don't know what (if any) tracking software is embedded in the Ledger Nano itself, since it is closed source.

3 - If you are using a third party server with your Electrum client, then that server will see all your addresses and transactions. You should ideally be pointing Electrum at your own Electrum server connected to your own node.