I really like the idea of a removable hard disk drive for my oscilloscope+ but I’m concerned about losing the instrument calibration information. If I replace the original HDD+ will the cal constants be lost+ or is there a file that I need to transfer to the new HDD+ or are the constants stored in NVRAM?

Factory calibration data, serial number, and option keys are stored in the NVRAM.

Signal Path Compensation (SPC) data is stored on the hard drive. To be sure that your oscilloscope performance is optimized for the current temperature and to remove long-term drift, you should re-run SPC (under Utilities -> Instrument Calibration…).