What you should also consider, do you need a VPN. If you just want to avoid region blocking, (any) will do. Just need to check if their IP range is blocked by the provider. For normal https traffic you don’t need one. Enable dns over https in your browser and your traffic is as secure and anonymous as with most commercial VPNs.
VPNs have their use cases but we now have a decade of scareware ads from VPNs that implied our traffic is as insecure as it was in 1980. but it isn’t, you’re paying for a lava insurance. And let me say this, you can still be tracked if you use a VPN. It’s just a bit harder, like marginally

GPU passthrough is still a Bit of a pita so if you going to VM stuff you need a lot more tinkering aswell many EULA don’t allow VM usage so you need further configuration to avoid detection.

The biggest downside to having a classical setup is that you can’t easily limit resources. So if your game eats up all the RAM your NAS will slow down and vice versa.

imho both are good options it’s just choose your poison Just try both scenarios and choose what fits your workflow the best

No they made people up that got mad. It’s just sympathy bait. It’s most likely an ad to fake interest in a hopeless project