If this fits your budget (you still need the actuals disks…) it’s not a bad choice. Speed should be sufficient for HDDs, as it’s USB 3.
As the other poster suggested, don’t use its hardware raid. Use it as a JBOD and configure the raid in Linux with ZFS or similar.
And never forget: RAID is not a backup! You still need to do regular backups, at least for important data.
I guess your OPNSense rule from Edit3 is not working because the source is not your mailu instance, because connections are initiated from the outside and mailu only answers (TCP ACK). So you have asynchornous routing.
You may get this working if you set the “reply-to” option to the wg gateway on the firewall rule that allows VPS -> wg -> mailu traffic.
However there is a much cleaner solution using the PROXY protocol, which mailu seems to support: https://mailu.io/master/reverse.html
They are using traefik, but nginx also supports the PROXY protocol.