Nope, better off on your router as then if your Unraid OpenVPN goes down you would still be able to log in.
On the flip side, most home routers don't have nearly enough CPU to provide full bandwidth VPN throughput. So, if you are using the VPN to manage machines, then router is best, if you are trying to stream content or share files over the VPN, server based is better.
For most people, router is best, as streaming is handled by plex or emby over https.