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Nope Ledger or not, infinite approvals can be risky. The reason is because you’re quite literally approving a smart contract to PULL funds FROM your account whenever it would like, up until a pre-agreed upon limit. This means that once you cryptographically sign the approval (safely with your ledger device), no further cryptographic approvals are needed to pull funds. Ledger’s job is signing things cryptographically, and one of the big problems with infinite unlocks is that they can happen asynchronously without you doing anything.
And you’re right, revoking permissions on etherscan is a good way to get rid of any unwanted approvals.