Openwrt includes a firewall, but most wifi routers aren't fast enough to run complicated firewall rules, VPNs, etc. at full speed. If you want to set up complicated firewall rules or run a VPN server on the same machine as your firewall (you can always use a different server), AND you have a fast internet connection (like 1gbps) and want full speed then it's a good idea to use a faster x86 machine for the firewall. Lots of people just use openwrt and live with the performance penalty, though.

The firewall is the gatekeeper that typically controls the traffic between the WAN and LAN. Most routers have at least a basic firewall built in. Whether you should have a separate router and firewall depends on a few things.

A common scenario is if you're routing a whole bunch of different subnets internally. This is often the case in an enterprise environment where thousands of devices are connected to the network. Routing can eat up a lot of horsepower and you don't want spikes in WAN traffic slowing down your internal routing. In that situation it makes sense to have separate firewall and router appliances.

If you're running you're entire LAN on one subnet, you're not typically going to have any internal issues with routing related to WAN traffic. It's also easier to troubleshoot one network appliance than multiple. I run a single Mikrotik as my main router and firewall. Don't make it any more complex than you need to unless you just want to see if you can.

When I set up OpenWRT it had a firewall installed by default. I assume this is standard for all devices it can be installed on.

Check the firewall tap on openwrt. It should be set to sain defaults