What storage for music with Nucleus?

You pose the question as a choice between a DAS (a USB drive attached to the Nucleus) or a NAS to hold your music files.

As has been said, locally-attached storage, whether an internal SSD/HDD or a USB drive is better than a NAS as far as the Nucleus is concerned.

However, you also raised the point about requiring backup for the music files. In which case you should probably think about both: a locally-attached storage to hold the music files and a NAS or an additional drive to hold a backup of your music files.

Personally, I have taken the approach to have a 4TB USB drive that I connect to my PC and take a backup (over the network) of the music files held in my ROCK/NUC (my DIY Nucleus). I then store the drive off-site in case of disaster.

Note that at this stage of development, Roon or the Nucleus do not have a function built-in for making backups of your music files, so a third-party backup application is needed.