What harm can it do?

Perhaps you really meant that modem is less secure cuz it has no Firewall (rather than NAT). That would make sense.

if you have no NAT and no firewall then any open port is accessible from the net. NAT in affect is a firewall as it needs rules to forward packets to the PC. So NAT will add security in a setup where there is either no or an inadequate inbound firewall in place.