The nice thing about using a CMSIS-DAP compliant debug probe is there isn't any setup at all. Just connect it to the Arduino board and click the "Start Debugging" button in the Arduino IDE. The only tricky part is making the electrical connections between the debug probe and the test pads on the Nano 33 IoT, but from your other thread it sounds like you will be able to manage that well enough. I have found one of these SWD header breakouts to be useful for making the connection between the debug probe and the Arduino boards that don't have a standard header:
But as for "Nano family", you should be aware that the only boards that are currently configured for use with the Arduino IDE 2.x integrated debugger are the ones of the "Arduino SAMD (32-bits ARM Cortex-M0+) Boards" platform (e.g., Nano 33 IoT, Zero, MKR1000, MKR Zero).
Even though the debugging system used by Arduino IDE 2.x does allow for any Arduino board platform to be configured to support debugging with its boards, the "Arduino SAMD (32-bits ARM Cortex-M0+) Boards" platform is the only official platform this has been done for so far and I'm also not aware of any 3rd party platforms that have done it (even though it's actually fairly easy to do). So the Nano 33 BLE and Nano RP2040 Connect of the "Arduino Mbed OS Nano Boards" platform can not be used with the debugger. The same goes for the classic ATmega328P-based Nano of the "Arduino AVR Boards" platform, and in fact that specific board would likely be challenging to add debugging support for since the VS Code plugin used for the IDE's integrated debugger is designed for use with microcontrollers that have an ARM Cortex-M IP core, which the AVR microcontrollers do not.
So at the moment, I would say that "easy to use" only applies to the Nano 33 IoT, and not to the entire Nano family. That debug probe is easy to use with the Arduino IDE's "Burn Bootloader" feature targeting the Nano 33 BLE though. I have used it for rescuing "bricked" Nano 33 BLE and SAMD boards by restoring their bootloader, so it is a useful tool even beyond debugging.