Inside or Outside the gateway is perfectly fine. In fact all my AV and Spam stuff is done BEFORE the gateway.
NEVER ON THE GATEWAY!
The router is there for one reason and one reason only. To route traffic.
I think you're confusing a home network and a "real network"... I mean those devices aren't even really routers... They are poorly named NAT devices. If they were real routers you could layer them behind each other and everything would go off without a hitch... that isn't the case .
I actually really like the idea of incorporating AV into the home "router". They're already responsible for so many other things (DHCP, DNS, "Routing", Filtering), why not add AV to the mix.
Personally I'll stick with my install of m0n0wall and no AV... but to each their own.
IT Blog: .:Computer Defense:. PnCHd (Pronounced Pinched): Acronym - Point 'n Click Hacked. As in: "That website was pinched" or "The skiddie pinched my computer because I forgot to patch".