You guys have answered my questions spot on. I was looking at the Netgear R7000 (as I'm cable) but I think that you're probably right that it might not be a good idea for all traffic, in which case I could look at either sticking with client based PIA VPN apps or as suggested I may look into having a second router for VPN use. Thanks!
Something like the Ubiquiti Edgerouter lite can do this.
It has 3x ethernet ports, one for in, and you can have 2x DHCP servers running on the other two on seperate LANs, so you could create a network that only connects through said VPN.