The thing is that someone could possibly modify the hardware/software within the hardware wallet in a way that would allow whoever sold you the hardware wallet to know in advance which seed it will generate, or otherwise leak the private keys.
The software must be easy to check. But the hardware attack is an interesting problem.
Most people are most likely not going to be technologically advanced enough to be able to
check audit the software. A third party messing with a hardware wallet to allow for the private keys to somehow be known to an attacker is theoretical, however if such an attack has been pulled off, there is a good chance that it would go undetected as the user might simply abandon bitcoin (as many do after getting scammed), or stop using hardware wallets.
Do you know any case of an hardware attack?
Not exactly what you were talking about, but I do know about
one hardware attack.
I think all hardware wallets are much too new to trust with large amounts of money. They have not been thoroughly tested against various attacks.
I guess most of the time these things are meant to be unplugged so the risk of an attack should be very low.
There is a reason why people are told to use a computer that has never, and will never touch the internet when they are creating a cold storage wallet/private keys. It is because if a computer is affected by malware then it could do a number of things that might take a long time to happen. One example of this is that a few years ago an android wallet software was creating private keys with weak RNG which allowed the creator of the software to know ahead of time what private keys would be generated. The phone could have been kept offline ever since downloading the software, however that did not stop the creator of the software from knowing the private keys
