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which filsystem do both of them use ?

The host Proxmox is using the Linux default EXT4.  The OPNsense vm is using ZFS.

I know what both Proxmox and Docker can do and that was totally not what I was talking about ;)
I am also not talking about HDD/SDD failure here!

I'm not sure what you're talking about, either.  But at this point, I think we've established that there is no file system type conflict.

I believe there are some adjustments you need to do if both your Proxmox Storage and OPNsense VM use OpenZFS as the File System

Proxmox is a Hypervisor that manages what amounts to Docker containers and virtual machines.  I think what you're talking about applies to people who want to share the same storage amongst all their containers and virtual machines.  Docker treats all containers under its management as a private subnet.  Proxmox allows you to easily extend that subnet over your physical network.  As a descendant of Docker / a virtual machine host, the default behavior of Proxmox is to isolate all of the resources of the containers and virtual machines under its control.  If I wanted to give all the containers/machines access to the same storage space, I would need to do what you're talking about.

All of that being said, that's not what I do.  My OPNsense has a virtual HDD file stored on the Proxmox physical HDD.  Whatever failure I experienced was isolated only to OPNsense.  If I experienced a failure of the physical HDD, that would have been reported on Proxmox.

I was updating my "firmware" and I got some kind of fatal error that bricked OPNsense.  It told me to check the log file but the Web UI died while trying to navigate to it.  After rebooting, it could not see the password file to allow me to login.  I assume that was the same problem that prevented it from doing its routing duties.  I downloaded the latest ISO and ran the install using a configuration it looks like it recovered, somehow.  I then ran another update and it crashed again.  But this time after rebooting, all the updates appear to be completed and everything seems to me working fine.  I ran the health audit.  As far as I know, that manually checked all the installed packages.  The logs do not show anything but packages being installed and uninstalled and only goes back to when I reinstalled today.  I did not see whatever the critical error was.

I've been working with Proxmox + OPNsense for about 3 years now.  I'm really happy with them on this 10 gigabit home router + firewall + VPN client + nas I built from an old computer.  I've never had anything like this happen.  I don't know what went wrong and that has left me unsure if I properly fixed it.  Does anyone have any insight about what went wrong or things I can do to make sure everything is OK?