It is not only that these boxes (I own one) require firmware updates (which are easily to be broken by the user) to become secure, it is also a real problem that you only have a few megabyte memory on those machines, which make more sophisticated security devices quite impossible.

You are usually glad if those things do the standard routing and have a firewall that makes at least a bit of sense (which they at times don't) and can handle wpa and not just wep...