I've always been a fan of running a router/firewall on bare metal. Don't like the idea that bouncing my hypervisor for maintenance or a kernel upgrade takes down my whole network.
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So, I run OPNsense in a VM on Proxmox. There is only one drawback I am aware of, which is when I update the Proxmox host itself, I'll need to attach a monitor/keyboard/mouse to it. Theoretically, if the upgrade was fully automatic and never needing any intervention or user input, it'd be possible without: But the reality is more that it might need user input, but the OPNsense VM will not be booted i.e. network will be down i.e. I need direct access to the Proxmox host.
virtualising means you can make more use of resources on system rather than having two systems and dedicating one to specific task.
On the other hand you can bork the hypervisor and then be without internet and possible become the families public enemy #1 :)
But it's generally pretty stable. Not use opnSense but do have a virtualised router using SophosXG. One nic from the VM is tied to vmbr0 which is the main virtual bridge that ties my virtual machines to the rest of the network. The IP is my default gateway.
the second NIC is done as PCIe pass through and this connects direct to my cable modem.
I could have bound this NIC to another vmbr and would have worked just as well. However there was some discussion in r/proxmox about performance impacts if you have a very fast internet connection (something to with srv-io iirc).