I don't have any problem running OPNsense in a VM on my ESXi server
why do you think a virtualized firewall is not secure?
Yes, I use OPNsense VM for all the VMs on my host and all the other machines in my LAN.
IMO, there's no such thing as "not as secure as" - that means not secure to me.
Security is a multi-layered approach and relying on a firewall or one single point of protection is self defeating - if the firewall is breached then you have problems. I do as much as I can on the firewall with IDS/IPS etc., etc. and add additional security measures on the machines in my LAN
If you don't have much experience with ESXi then.. <snip>
If you are using proxmox, it has a small built in firewall which will be OK for most simple tasks.