A Horizon Security Server contains no information about the configuration of the Horizon installation, and therefore has no backup requirements. Assuming that the self-signed SSL certificate was replaced with one from a trusted internal or commercial certificate authority, it is important to maintain a backup of that certificate that includes the private key.
As the Horizon Security Server is a publicly accessible server, you may wish to backup the log files on a regular basis. These files are located in the same folder on every type of Horizon Connection Server: %ALLUSERSPROFILE%\Application Data\VMware\VDM\logs.