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I run Opnsense on a Proxmox VM (I followed this guide). I’m quite pleased with it. Opnsense is probably going to be more secure than any consumer router firmware, but you’re going to have to make a bigger upfront investment in hardware. I had never used Opnsense prior to using this system, and the fact that I’m running it on Proxmox is a huge benefit. If I’m ever about to do anything I’m unsure of, I can snapshot the VM in Proxmox. If my router config breaks as a result of my tinkering, I can easily restore from the snapshot.
Alternatively, check out Consent-O-Matic, which applies the most privacy-preserving features by default, and lets you choose more specific preferences. It’s also open-source.