What do you mean a more secure network. This is likely marketing fluff unless you have a example.
By default the simple NAT function every router has prevent someone on the internet from attacking you. Nat is really stupid and when a machine on the internet attempt to initiate contact with your machine the router has no idea which of the internal devices to send it to so it discard the traffic.
This is why people have to port forward, and why port forwarding is considered a security exposure.
A lot of the other stuff outright no longer works. Used to be you could have firewall software that could do so called deep packet inspection but now with everything encrypted there is no ability to really know what is inside the data streams.
It all depends on what you are looking at. Some routers come packaged with antivirus software but that is just a marketing gimmick the software runs on the end device not on the router...again the encryption prevents any ability for the router to see anything.