It depends; there are about three things you must consider:
- Does the software provided meet your needs (security and performance)?
- Since you're using OpenVPN Server on ESXi, you'd probably be fine using OpenVPN Server on a pfSense firewall. IPSec VPN on that same pfSense box would also probably work for you, if you know how to configure it correctly.
- The specific consumer router you listed appears to have PPTP VPN, which may or may not meet your needs.
- Does the software contain known vulnerabilities as first obtained (installed or bought)?
- This is always a "check current news" item.
- So, you must ask - where can you find such news for a given product, i.e. how would you know?
- Contact the maker?
- When a vulnerability is found in the future, how will it be addressed?
- Some vulnerability will be found, at some point in the future. Such is the way of code written by humans.
- Look at past performance: how well has a given maker addressed the recent big bugs, like Heartbleed and Shellshock, etc.?
- On their current products?
- On their older products? Look for a product about as old as you hope to keep this one; see how they handle updates and patches.
My gut instinct is that serious firewalls will be quite good at handling all of these with their built-in VPN's, if they either have free maintenance or you buy the support plan, and the consumer grade stuff will not be kept up to date.
As far as port forwarding to the local network, you are correct; my pfSense installation simply asks which interface (WAN, in your case) to open the specific OpenVPN server port on. However, I'd be hard pressed to see opening a single port for UDP only (or TCP only), to a single internal address which runs OpenVPN as a significant security flaw; this is, after all, what you use a firewall for.