I don't put it on my router because there are certain things it would kind of mess with (for example: Netflix on the TV would get all weird and restrict content if it goes through a VPN, I assume it'd slow down online gaming on the Playstation and I don't really care if that's anonymous or not and so on.) I could probably split tunnel that stuff, but for me it's just easier to run it locally on the things I think need it (my laptop, phone etc.) than figure all that out.
That's just me though, it really all depends on your preferences/threat model I guess.