Not true.
I had pfSense set up in a VM last month bridged to two network adapters. It worked perfectly as a DHCP server and a firewall. I had one NIC bridged to the WAN and the other bridged to my internal network. As a router, it performed really well. I got line speed throughput from it (50Mbps). All the devices on the physical network got an IP address from it just fine - not just the devices hosted on the VM.
But the problem came with Window's bridged networking drivers. It introduced a significant amount of load on the CPU. From what I hear though, Linux's virtio drivers are much better suited. You should have very little performance overhead. Its not something I have tried though - I have since moved pfSense to a dedicated machine. Just an old laptop I had lying around with a USB network adapter for the WAN side, and the builtin port for the LAN. It doesn't have anywhere near as powerful a CPU as my VM, but general performance is much better.
That said, for a dedicated folding machine, I wouldn't install a router on it. You're going to affect your PPD adversely, or your VM is going to get choked for resources, slowing down your entire network. I highly suggest using an old laptop or a netbook. Or even get a used laptop one from craigslist to tinker with pfSense, rather than a hardware router.