Further testing:
Looks like Collision Avoidance is switched off during Tracking. Ask me how I know
Genuinely, this could be a problem as it doesn't seem to maintain altitude either. That means it's possible it could hit you, another person, a vehicle or an animal. (FWIW all my testing to date has been in Standard flight mode).
Also, I had a problem today when setting myself as the target, then kneeling down to put down the controller before riding off. The Nano "lost" me as I knelt down. I think perhaps my shape changed too much and it couldn't identify me?
So far it seems to always follow behind and to my right. I need to do some testing in a more open area.
In that video the Nano simply remained stationery once it had lost sight of me.