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

Never forget that Valve is single handedly responsible for Lootboxes being a thing having introduced them into TF2 and then CS:GO