By putting it on your router, all your traffic is tunneled through the VPN, right?

I ask this in comparison to applying it at a finer-grained level, such as just a particular machine, or to an application, or to even a browser tab or particular domain. I feel like I would never want all my traffic VPN-ed because it is slow, there are greater privacy concerns of VPN operators, and my needs for VPNs are a cleanly-separable small chunk of my online activities.