OpenRouter is pretty great but I think litellm does a very good job and it's not a platform middle man, just a python library. That being said, I have tried it with the deep think models.
Part of OpenRouter's appeal to me is precisely that it is a middle man. I don't want to create accounts on every provider, and juggle all the API keys myself. I suppose this increases my exposure, but I trust all these providers and proxies the same (i.e. not at all), so I'm careful about the data I give them to begin with.
Unfortunately that's ending with mandatory-BYOK from the model vendors. They're starting to require that you BYOK to force you through their arbitrary+capricious onboarding process.