No. I've helped so many friends set up their consoles in the dmz and every one of them noticed a big difference after. All routers come with a reset button in case you screw something up. There are lots of guides online. Most ppl are just too freaking lazy to be bothered with a few minutes of research.
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Yeah no kidding. When you place a host outside of a firewall you will typically not have problems associated with a poorly configured firewall.