It all comes down to whom you trust. And the truly paranoid (like me 😉 ) wonder whether the proprietary VPN software is secure. Vendors always say, “Trust me”, but (for example) the Asus RT-N66U is a poster child for unearned trust. See http://arstechnica.com/security/2014/02/dear-asus-router-user-youve-been-pwned-thanks-to-easily-exploited-flaw/.
Thanks Alan… Interesting article but I was specifically referring to, and use the standard PPTP VPN service in the router. The vulnerability referenced here is related to their proprietary AICloud service where you turn a locally connected USB drive on the router into internet accessible storage with their service. I don’t use that and is not applicable to the VPN server or any OSPI implementation. A lot of routers have the PPTP VPN server built-in along with any Windows PC or you can install it on the RPi like described in this thread.