It's more secure, yes. But since the data stays on the device now, web apps cannot read or write health data anymore. You need to develop a dedicated app to access the data on the device. And the user has to interact with the app, or the data will not be accessible.
E.g. my Withings scale writes my body weight to Google Health Connect. But I need to open the Withings app every time for that to work. The app-developers cannot do this in the background afaik. (The data flow is: scale -> cloud -> app -> Google Health Connect.)
Another issue I see is: There is no incentive for app developers to write data to Google Health Connect. Even if you subscribe to the idea of using it as your data-store, you will lose access to the data if a user uninstalls your app. It's only possible to read data up to 30 days in the past, or however long the user has installed your app – hopefully they don't decide to reinstall it.
I really appreciate the inter-connectivity Google Health Connect allows between apps, though.