Do you need VXlan? Unless you are doing something really funky, regular vlans should work fine. VXlan is only really useful in very large environments where you want to have layer 2 traffic flow over layer 3 networks. I would strongly recommend that you just stick to regular vlans since they are simple to work with and all you need is a router somewhere on your network to terminate the connection.
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Of the options I would say 2 but you forgot option 3, have a hardware router handle it and trunk the ports to the proxmox hosts.
Proxmox is a virtualization solution: let it do its job and run a vm with opnsense.
It is simple both from a virtualization and a networking perspective; your hypervisor is 'hypervisoring' and the firewall is firewalling, easier to maintain and debug, no custom thinkering required.
If you are at home go with #1, more fun and lots of discoveries; if you have to pay the bills, go with #2, tested, solid, easier to handoff to your colleagues.
If you are at home go with #1
I'm at home but networking/firewalling does my tits in - #2 for me I think ๐
(me too i did #2 at home...)
Iโm always uncomfortable doing #2 anywhere but at home.
For me it depends on the hw on site; if it is properly setup and in an adequate environment i have no issue anywhere.