Firstly, depending on who relays on your internet/services, more you put on the proxmox with opnsense, more likely you will need a reboot/something else that would cause you needing to shutdown the opnsense vm, so thats why a lot of people have separate dedicated boxes for this, but again plenty do it in VMs with no issues.
Secondly, your proxmox box is probably faster than your nas, so moving over docker containers that would benefit from the speed increase (or integrated graphics) could be something you do.
Thirdly obviously you can do full blown windows/~~mac os~~ vms on the proxmox box, issue is with your cpu being low power is you don't have a huge amount of performance to play with, which could also cause your opnsense to struggle if other intensive vms are running, again only way to find this out is by trying it.
But overall with most stuff with selfhosting, find an issue with your life and see if you can resolve it by hosting a service or automate it with something like home assistant, best way to find this stuff out is to experiment/try things out :)