What is a good alternative that allows me out of the box with no extra hardware to install a plex server, connect to Mullvad VPN and start / monitor downloads directly from the NAS device web interface or mobile App?
QNAP's QTS/QuTS Hero are generally as "batteries included" as Synology's DSM in that respect. I threw 32GB of RAM in my TS-464 and run ~15 containers (as well as Plex, not in a container) on it with no problem.
