Router-level VPN is going to be more difficult to configure and cause more problems than just having it on all your devices. There are some games where online play just refuses to work if connecting through a VPN. Some mobile apps are the same. When a website blocks your currently selected server, and the usual solution is switching to another server, that’s going to be more difficult and more tedious when it’s configured at the router level. In addition, if you do something like using a self-hosted VPN in order to connect remotely to a media server on your home network, that becomes more difficult if your home router is on a different VPN.
If you’re trying to keep local devices in the building from phoning home and being tracked, a PiHole or router-level firewall might be a better solution. I think if you’re running a pfsense or opnsense router and are a dab hand with VLANs then maybe you could get what you’re looking for with router-level VPN, but it’s a huge hassle otherwise. Just put Mullvad on your computers and phones and call it a day.
I don’t listen to many podcasts, but those two are pretty great.