I've been doing this for a while now with opnsense being what masks the whole network behind the mullvad VPN.
Pros:
- Even fresh new devices that have all that crap junkware installed get routed through the VPN, meaning no tracking to you immediately (unless they sniff the rest of the network and relay your network AP I guess)
- one device instead of many, leaving extra devices available to use for a single mullvad account (limited to 5 devices, at least for wireguard)
- if using wireguard, you honestly won't be hit with network performance issues. Just don't choose a server across the world from you. I chose one in the same country as myself and get an average 95-97% of my internet speed, and that's because I also have IDS/IPS enabled
Cons:
- as others mentioned, increase captcha annoyances
- some banks may lock your account if you try to log in with the VPN
- if the VPN server goes down, the whole network will. This may be a good thing since your don't want traffic to leak, but just pointing out you now have another single point of failure outside your ISP
- when someone's hoarding the entire VPN server you're connected to, you'll probably witness a slowdown
That all being said, if you're not very technically savvy on the networking side or haven't ever setup a custom router/firewall, this will be a pain. But it you want to learn something new and are up for the challenge, eventually it gets down to almost never having to worry about it. I've been doing it for a long time now, so for me personally, I've gotten to the point of only needing to login to the firewall for a VPN setting update or server change maybe once a month
The news is kind blowing this up bigger than it really is. But I find this as a good thing because I've noticed a few people FINALLY taking the advice I've been giving for years now, and that's to freeze your credit at the big bureaus and some, if not all, of the smaller ones.
That being said, I checked this data dump for my own data as well as a bunch of friends and family. Not a single person I checked was in it... Which is why I'm not finding this breach to be that frightening personally. The ATT breach was way worse. Also Krebs posted on this today... A good read for anyone interested. Main thing I took from it was a large number of these entries belong to people who have passed away already.