Another thing to think about: How much current are these modules drawing? Depending on what they’re doing, a Nano can draw 30 mA on up. And often Eurorack power supplies use an LM78L05 or something similar for +5 V, with a limit of about 100 mA. Three Nanos on one PSU and it’s maxed out.
If a Nano is expected to supply power for stuff off board in addition to itself, its onboard regulator may not be up to it, in which case it does make sense to power it with regulated 5 V on the 5V pin. But between the PSU current limits and the possibility of a short to +12 V, it’s probably best to use +12 V to an LM78L05 on each module.