That seems like a Hetzner problem, as you should be able to set custom NS records (according to the docs you linked).
Note that Hetzner only sometimes allows setting DS records to enable DNSSEC, which is required when using deSEC. It’s therefore recommended to use a different registrar where this is not a problem.
The message sounds like you’re trying to add the NS records inside your DNS zone at Hetzner. That is not the correct approach. Instead, you need to adjust your domain’s delegation (which would be somewhere around the domain configuration, not where the DNS records are configured).
Using the recommended DNSSEC Analyser, the results are good, except for one issue:
No DS records found for frede.me in the me zone
Is this because I haven’t completed step 2, Enable DNSSEC, yet?
It says that I need to forward the provided DNSSEC information to my domain provider.
I’m wondering how to do this.
Since changing the NS records, changes made in Hetzner’s DNS tool are now ignored.
I also read that Hetzner does not support DNSSEC.
I’ve tried reading up on it, but unfortunately this is a bit out of my comfort zone, and I’m still a little confused about what to do and where to do it.