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
At least he isn't Steve Bannon, he isn't trying to suck his own cock