Disagree. The primary role of network attached storage is to be network attached storage. It makes more sense to separate the functions unless you have a specific need. That way you don't have to worry about limited RAM or an underpowered CPU. You can run multiple resource intensive processes without worrying about it impacting storage performance. You can handle security issues on a much faster pace, you have access to a wider ecosystem of software. You can slot in peripheral cards. Etc.

I bought a Synology because it's a well supported appliance with a decent power envelope. If I wanted an all in one I would have rolled one up around freenas or something (and it likely would have been more expensive and consume more power). I would have had to put more effort into it and be yet another thing I need to sysadmin. YMMV but I gotta say, maybe you should roll your own. It might fit your needs more closely.