pfSense Community Edition is comparable to enterprise solutions like Palo Alto and best of all, it is free. A paid technical support plan is available if you chose to purchase it but there are a lot of good support forums out there as well as instructional videos which is normally enough to get you up and running.
One thing to keep in mind. When you perform updates that require the DSM to reboot, your internet will go down as well. I find the convenience and security to be a good trade off and just plan the updates,
The attached guide is a step by step to get pfSense working on Synology DSM Virtual Machine Manager.