Depends on Lan, but if you talking about home router(dlink, asus, linksys, etc) based lan.
I would say Yes it adds security.(but highly depends on your use case)
Recent years there was a lot vulnerabilities in routers found, and if you did't flashed router for long time you at risk. As example 'The Moon' worm infects Linksys routers
So router is one of first points for attack on your lan (if we talk about network)
but it's harder: to check integrity, update, be sure soft is ok (as most are closed source). There are fewer router models and their firmwares then different OS's versions - so easier to guess.
If you have some sensible services in your lan, you may consider to put them in your vpn network.
In general it's a question how good someone can maintain his boxes(PC's) comparing to router maintenance. How strong someone relays on router as a firewall. So there maybe a good reason to shift security barriers to more controllable pieces of your network.