I've been using multiple OpenWrt compatible routers and most of them have a dedicated Switch configuration / VLAN management menu. Here's an R7800 for example:
You're going to see this newer configuration more and more frequently. The difference is an older swconfig-based configuration vs. the newer DSA configuration. Due to numerous reasons, many devices' switching functionality is being moved to DSA and so this is really the way things will be from here on out. With a DSA-based switch configuration, you will configure VLANs through the "Bridge VLAN tagging" options in the bridge interface. (Network -> Interfaces; Devices tab; Select the bridge to configure such as br-lan; select the "Bridge VLAN tagging" tab)
As for performance, the difference can vary based on configurations. Yes, the CPU is capable of seeing the traffic every bit as much as it would be under the old swconfig system. However, the switch still performs its actions within the switch, so you don't have the extra overhead or slow-down that you would face were it entirely separate devices connected to entirely separate ports on the CPU.