There are many benefits.. what you call a router is simply a embedded packet filter, a firewall is just a term used to describe some of the features it provides.
If you were to replace the router with a dedicated OpenBSD router, there would be benefits.. advanced networking abilities.. flexibility.. and access to the source code is always nice.
I'm not going to list all the benefits of using OpenBSD instead of some embedded device running a generic RTOS, but personally.. I would always choose the former over the latter.
Hope it helps..