At some point you will have to trust another part. I could easily use a VPN to another location, but there would probably be someone at that location which would be able to intercept the traffic. The only way to be sure is to use end-to-end encryption, and unless those you are "talking to" support it, it's little you can do about it.
I'd guess because selling yet another router would put them into stiff competition with only a single feature to differentiate them. Seems like the motto here is do one thing very well.
If you're running a non-vendor version of Linux on your router, why would you buy this product in the first place? It isn't that hard to enable adblocking on e.g. DD-WRT.
I run Linux on my router and encrypt traffic of any value beyond it. This being HN, it's probably not a particularly unusual setup.
Which brings me to the most important question about that device, why not move its functionality to the router? Why yet another box?