The All-in-One Router/AP's - on the higher end, can reach some decent performance with a few clients on the back end - they do tend to use some, for lack of a better word, interesting methods to get there.
When you take a step up into the next tier of Routers (e.g. purpose specific), they have a different perspective, and many like the MicroTik's (some of them), the Ubiquity EdgeRouters, pfSense boxes (both Branded and DIY) - they can hit wire speeds even with NAT/SPI in place - and then it's down to resources on the compute and memory side with the number of users behind it.
They do tend to be very focused - routing and firewalls, and they don't do, like SEM mentions, file sharing, DLNA, torrents, print servers etc... and they generally don't include WiFi - They might have more business focused tools like proxy servers (e.g. Squid or similar), UTM's like Snort (or others), and VPN solutions that generally outperform and are more stable than consumer oriented all-in-one's (some do, some don't).
They tend to not be all touchy/feely with a user friendly UI, they assume that you are skilled in the arts of networking... they might have some wizards to guide a user, but there's quite a few knobs/levers that can get one into trouble if they are unaware of what those things do...
That being said - in the right hands, they're very useful tools - and surprisingly affordable sometimes...