Our universe is $M_n(\mathbb{R})$, the space of all $n \times n$ matrices, which is identified with $\mathbb{R}^{n^2}$—a big, flat, Euclidean space of dimension $n^2$.
The condition
\[
\operatorname{tr}(A) = a_{11} + a_{22} + \cdots + a_{nn} = 0
\]
defines a linear equation in the entries of $A$.
In $\mathbb{R}^3$, an equation like $x + y + z = 0$ defines a flat plane passing through the origin.
Similarly, in our $\mathbb{R}^{n^2}$ space, the equation $a_{11} + \cdots + a_{nn} = 0$ defines a flat hyperplane passing through the origin.
Therefore, $S$ is a giant, flat hyperplane living inside the larger space $M_n(\mathbb{R})$.
Now just remember:
- Every hyperplane in a vector space of dimension $> 1$ is a classic example of a nowhere dense set.
- Every hyperplane is a prime example of a connected set.
- Every hyperplane in a vector space (of positive dimension) is non-compact because it is unbounded.
Hence, statements (a) and (b) are TRUE, and statement (c) is FALSE.