There are a number of advantages to running a VPN server on a dedicated device like a RPI…
Separation reduces the risk that a router firmware update or misconfiguration compromises VPN availability.
Router firmware often lags behind in VPN updates.
A Pi 4/5 can handle WireGuard at hundreds of Mbps with proper tuning whereas router implementations are often limited by CPU resources.
Ability to run the VPN in a DMZ exposing only the Pi, not the NAS or the router directly.
Expandability such a pi-hole and ddns updates.
Misconfigure WireGuard on your Pi, your router and internet connection still function normally but breaking WireGuard on the router could knock out your WAN or firewall rules.
Pricepoint!