Except that I have to check defaults and configure my home router once and I'm done (for a while at least). If every single device on my network had it's own firewall, each with their own settings, capabilities, and defaults, I'd have to configure and check the defaults for every device on my network.

You could argue that having one edge device running a checked and configured firewall means that you don't have to worry about the firewalls installed on every other device on the network, but anyone who has networking experience will know better. Problems are bound to come up on the internal network if nothing else and troubleshooting issues becomes a lot more complicated!

Also, if we're counting on every IoT product to come with its own embedded firewall you can be sure many of those are going to be so poorly thrown together that they introduce more security problems than they solve. This is a class of products that has earned a horrible reputation in terms of security.