The only critical data someone could extract from for example a stolen computer are the stored passwords and the local cache. This is no  more no less of what a thief could obtain from any browser install (IE, Firefox, Safari).

The situation is the following: passwords are stored on the local NX computer only if the user chooses to do so (exactly as in a browser). The cache (images downloaded during the session, for example) is saved on the local disk only if enabled in the session configuration (size of the disk cache > 0).

While NX is no more no less secure than any Web browser, we are going to improve the software by implementing something similar to the "kiosk mode" made available by all browsers.

Related feature request is:
http://www.nomachine.com/FR12E01974