Is it better(safer) to have your router connected to VPN server and have all the devices that connected to the router go through it or just run VPN software on individual devices?
Running a VPN client on the router means other devices such as your game console or other internet connected devices will also be protected by the secure connection, at least to your VPN server.
VPN adds overhead to all your traffic so if your router is relatively old, it might reduce your overall speed.
Now whether or not it’s safer really depends on what you’re doing. If you’re seeking anonymity, once you log in to anything you’re no longer anonymous. Also your privacy is dependant on who is running the server, for example, if you’re running a VPN to an Amazon VPS as your server in your own name, it’ll be easy to figure out who you are.
So, the answer basically depends on what you’re trying to protect.
I prefer run vpn on router and make policy routing over vpn.