Having pf on vm's gives another layer of redunduncy, but thats another story.
Maintaining one system does have its benefits (upgrades, troubleshooting etc)
And routing the packets in and out of virtual interfaces does consume unnecessary cycles. I can't tell if this has any measureable degradation whatsoever in any case.
I do have second thoughts if that would work in the end, becauseit all boils down to a common routing table so traffic would never pass through the lans :(