Earlier quoted context omitted.
A very secure solution is building your own box to run OpenBSD. There are some good guides on how to set up OpenBSD as a typical NAT router / firewall here: https://www.openbsd.org/faq/pf/example1.html I like PF a lot more than IPTables. I've found it to be far simpler to configure.
Usually the issue in setting up a PC to do this kind of stuff is power consumption. Typically it's a minimum of 60W to run an idle PC, while an ARM router would run at 1-5W and have multiple ethernet ports.
I'll check what the energy consumption on my router is. I'm using an AMD chip which I had lying around. You're probably right that it uses a bit more power than necessary.
I was thinking about getting something like this: https://www.amazon.com/Firewall-Micro-Appliance-Gigabit-Bare... which uses 10W. It should be easy to install *BSD on something similar.