> It allows customers to make just one firewall exception for connections only coming from their tailnet.

You'll need to open a single UDP port on your firewall, so it's your public facing IP address. You don't need an entire VM somewhere, just a single port.

Regarding the speed question. You'd use the derp when it's not possible to make a peer to peer connection, which limits your speed to derp server's speed and load. Which the peer relay, you can practically use the entire bandwidth you have between your devices.