Is using VPN on a router more secure than using a dedicated VPN machine?

I was looking at the features of the Asus RT-N66U router and noticed the built-in VPN feature. I am currently running an OpenVPN server on an ESXi VM, but I was wondering: would using the VPN feature on a router be more secure? After all, this way you wouldn't have to do any kind of port forwarding to the internal network, right?

Or perhaps, security-wise, there are no differences between the two approaches?