I have successfully set up OpenVPN Server on a Pi 4 running in my LAN and on other occasion I managed to install OpenWrt on a Pi 4 and then had OpenVPN Server running on that Router/OpenWrt.
My main use case is to be able to access my LAN when I am away from home via my own VPN server.
Is there any advantage or disadvantage to installing OpenVPN just on a device (e.g: a Pi 4) in my LAN vs on the OpenWrt router itself (such as a Pi 4)?
Generally speaking, it doesn't make much of a difference. Because you're running OpenWrt on your main router -- a pi4 -- I'd say that it is probably easiest to have OpenVPN on the main router.
That said, I'd recommend using WireGuard instead -- it's far more performant and super easy to configure. It's also more secure insofar as port probes will not reveal any open ports -- the protocol only responds if the cryptographic keys are all correct.