I dunno about today but this existed for years and was called something like Goodbye Windows IIRC

Routers are usually hardware level optimized for throughput, filtering is inherently computationally expensive compared to routing (not crazy expensive just more than usually fits an FPGA), especially if you have to keep up multi-gigabit throughput

You could totally do it at the router, it would just become a more expensive piece of hardware and most people choose to cheap out