If I have a bare metal dedicated server, which has only access to IPs contained in my whitelist on a dedicated opnsense, I have less to wory about.

Sure, someone could still find a openbsd/opnsense exploit and get me, but my point is: complex systems break in complex ways, the more complex systems you use, the more attack surface u have, need to know and understand to control and mitigate it.

The way I would frame it is: using complex systems that you are unfamiliar with is risky. In your case, you are familiar with OPNsense and firewalls. So that may be the more secure option for you. But for somebody who isn’t familiar with firewalls, there are a lot of ways to mess up. For example, IP and mac spoofing is very easy. OPNsense and firewalls often don’t have very good defense against IP spoofing, especially if the malware is already inside your LAN (for example, a malicious app running on a smartphone).

Using proxmox and other virtualization platforms has one big advantage: you can experiment and play around and learn, without much risk. With a physical server, if you mess up and get infected, you may have to throw away the whole server. You can’t just re-install the OS, because the malware could have installed a rootkit or infected the bios or other firmware. But with a VM, if the VM gets infected you can just delete the VM and create a new one. One of the main goals of a hypervisor is to sandbox the VM, so that malware is contained.