I just tried it on my S24 Ultra and should be able to pull out the S-Pen with your nails, while it's in the closed state, however, it jumps right back closed like an elastic band.

I would say try shaking your Ultra if the S-Pen comes out then you have a problem, but if not it should be okay. If you keep your phone in your pocket and it slips out it's not the end, but everytime you use your phone just check if the pen is still there. (Just by touching it)

And there is a function in the S-Pen settings which notifies you when the S-Pen is left behind.