Same here, opnsense on proxmox. I'm very happy with it. Snapshots mean I don't have to worry about a "bad" update and I appreciate the easy console access through prox gui without needing an ipkvm or similar in scenarios where I've screwed something up and can't hit the gui or ssh. Plus, if you backup your *sense config after any changes you make, in the event you need to setup a new physical box it's a quick iso install and restore config. For me the pros outweigh the cons, even if a bit of performance is lost.