Yes. Annex III Class I covers products with digital elements with the function of a virtual private network. The category is written around the function, not the product type, so a device whose VPN is one feature among many is still in it.
Products with digital elements with the function of virtual private network (VPN)
Annex III, Class I, point 5, Regulation (EU) 2024/2847
Firewalls are Class II. A UTM appliance that both terminates VPN tunnels and filters traffic answers to whichever is its core functionality - recital 4 of Implementing Regulation (EU) 2025/2392 gives the router-with-firewall case and says the added functionality does not in itself change the category.
The same rulebook that produced this page runs the free check. It reads your products, classifies each one against Annex III and IV, and gives you an indicative verdict with the reasoning and citation for every product.
Indicative assessment - not legal advice and not a conformity assessment.