When I last used DSL, I was using AT&T uverse (which is/was VDSL with multicast video layered in).
I configured the provided gateway/router-widget to provide a "DMZ Plus" mode for my router (a custom box running Tomato or OpenWRT or something), and I called to get ports 25 and 80 unblocked. And then, plus-or-minus some completely-surmountable difficulty with making dynamic DNS behave properly it all worked fine.
For years.
I never connected anything other than my router to the ISP-provided device.
There's probably some corner cases where this configuration falls flat, but I never ran into them.
What might be some practical advantages of what you suggest?