there is no reason why a one box soulition will not work as well as a modem and router, i have just setup draytek 2860 with two 80/20 connections one using the inbuilt vdsl modem and the second on the Ethernet wan via the openreach modem with no signs of slowdown, even had it at home to test and it worked flawless. though it is just two expensive for a home router.
I manage a Draytek 2850 using its VDSL2 modem on a line that gives maximum attainable speed of 103,145kbps down and 3,7622kbps up.
It is currently synced at 79,984 down and 19,998 up.
It's at a remote site so I can't measure clean donwload speed at the moment but I'll have a look and see what it does when I'm next there. I think that when I was there for the install it was getting more than 70Mbps.
When set up correctly on a good line, I know the Cisco 887VA, which I also use, can achieve at least 72Mbps download using its internal modem - see http://hope.mx/cisco-887va-vdsl2-throughput.
When I am able to put one of these on a good line I'll test it too.
Access lists, firewalls, NAT and VPNs are the sort of things that hammer all-in-one box peformance. I'm not sure that having an inbuilt modem should be a big issue. The modem will have its own chipset which shouldn't impact on main CPU performance.
While I agree there's somthing to be said for having a router and separate firewall (my configuration of choice) I can't see a router with build in modem is going to be worse for performance that a router with separate modem. Let's face it, router with inbuilt modem is the default way of connecting to ADSL services of various flavours so it can't be all bad.