OPNsense version of NGINX supports "auth_request" only very limited. 2FA apps like Authelia as authentication provider are not possible behind OPNsense's NGINX version. Nevertheless, you do not have to do without 2FA completely.
Fritzbox is a German router brand. Almost everyone in Germany has a Fritzbox.
This router is known to work day and night. Unfortunately, you can configure almost nothing and debug very little, which makes the transition very difficult.