The router's firewall cannot specify application rules as to whether or not you want an application to have network access and, if so, just what types of access that it gets (TCP, UDP, ports, time of access or denial, etc.). The router's firewall doesn't know what application is generating what network traffic. Only the software firewall running on your host can do that. Do you trust everyone of your "normal" applications won't connect without your permission or without telling you they are connecting? Feel lucky if that is true.
Software firewalls are handy for regulating network access for applications running on that host provided those applications aren't smart malware programs trying to circumvent or disable the firewall (your router's firewall can't handle malware, either, that makes otherwise unauthorized and undeclared outbound connections). If you want some application-centric regulation over software's OUTBOUND access then you need a local firewall.
Don't expect your router's firewall to be much more useful that Microsoft's software firewall. You may get some host-centric control over Internet/network access but other than that then it won't know what app is trying to get a connection. Routers have very simplistic firewalls and are not equivalent to firewall appliances. Look at the router's firewall like you look at Microsoft's software firewall: some protection from unsolicited inbound connect attempts but nothing for regulation of outbound connect attempts by applications (and only some regulation based on hosts). What you get for protection depends entirely on how potent a firewall is included in the router. Some routers let you define rules on which hosts can connect to your intranetwork, to other hosts and which ones on your intranetwork, which ones get Internet (external) connects, during what times they can connect, quotas on bandwidth, QOS, and so on, all of which is outbound regulation (from a host to other hosts or the Internet).
Some routers' firewalls include inbound protection, like stateful packet inspection, to protect you against unsolicited inbound connect attempts and may even provide heuristics or rules to detect certain known type of attacks, but all in all the router's firewall is pretty basic. It may end up duplicating the inbound protection that your software firewall provides but it lacks any outbound protection afforded by a software firewall running on a local host. The inbound duplication isn't hurtful. It just means that anything your router's firewall caught doesn't have to be caught by your software firewall and then take CPU cycles to handle.