
It depends on your threat model or how I like to call it: the paranoia level. Since all connections go through the ISP router anyway you won’t really gain that much privacy unless you directly put a VPN on your router.
Here is what you could potentially stop leaking:
Also theoretically, the router could be an entry point to do attacks against your devices.
People who use pfsense mostly do that because they want more features. For example I have an IoT VLAN that cannot talk to the internet.
For privacy the simplest thing would be to try and put a custom firmware on your WiFi router, like OpenWRT.
Everything else is a bit of an overhaul. And in the end, you always have to trust that the WiFi access points manufacturers firmware does not exfiltrate data.
Also, I would just try plugging in to the modem and see what happens. Most likely you’re just wasting power right now with that ISP router.

Check out EFF cover your tracks: https://coveryourtracks.eff.org/
The results are very interesting. For me, the most unique thing about my browser was that I had two system languages, and so the accept-language header was very unique.
I now use vanadium (graphene OS), which simply sends made up values for a lot of headers, and so makes fingerprinting harder.
In general, you should try to be as “normal” as possible, use standard settings for everything, just accept English, etc…
I’m using it and never going back.
It’s not just the privacy aspect, but the fact that most results in other search engines suck. The first two pages would usually be ads - first the bought ones, then company websites and copywritten blogs. I get that way less with kagi. I find useful stuff faster and my brain is less polluted.
I’m missing a bit the fact that this is not a law yet. This is the position of the commission, which the parliament will then need to approve and has to get past the ECHR as well most likely.