I've been doing some reading on these things, and am still a little confused.

Do they have a built-in VPN that covers the everything connected to it ? Or do I still have to subscribe to an outside service and just put that services software on the router ?

So far everything I have read makes it clear as mud.

You put all data thru whatever VPN service a router supports.

VPN often will Slow the Traffic and do little to protect you. Ignore BS Hype saying otherwise from most VPN providers.
More so w/ Most web sites now using HTTPS like PFF was finally force to use to be ranked on Google etc.

Worse if any device also runs a VPN and other encrypted tunnels for any reason like Work/school from home.

For a bit more privacy/speed/both...
Set the router DNS to use 9.9.9.9 ( www.quad9.net ) and/or 1.1.1.1 (Cloudfare https://1.1.1.1/dns/ ) not auto settings from ISP.
or
in FF and maybe other browsers go into program network settings and turn on "Enable DNS over HTTPS." This Encrypts all FF DNS calls.

If you need or the router etc forces IPv6, both have addresses for DNS on IPv6 too.

Exact how to set DNS is different for each brand, often for each model.

E2A---> If a VPN routes data thru other countries... either 1 device or the router using this.... Banks, Work, Schools, and more may block you to log in. May stay blocked until you call support etc to verify the account to protect the company and you. Be very careful you actually "call" the bank etc by using credit card phone # on back of card, go to bank web and get # there, etc. Not some text, emial or voice call claiming whatever is blocked.

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Dr. Ian Malcolm: Yeah, but your scientists were so preoccupied with whether or not they could, they didn't stop to think if they should.
(Jurassic Park)

The Ogre's Fiero Cave

[This message has been edited by theogre (edited 08-22-2022).]