Proxmox is a virtualization solution: let it do its job and run a vm with opnsense.

It is simple both from a virtualization and a networking perspective; your hypervisor is ‘hypervisoring’ and the firewall is firewalling, easier to maintain and debug, no custom thinkering required.

If you are at home go with #1, more fun and lots of discoveries; if you have to pay the bills, go with #2, tested, solid, easier to handoff to your colleagues.