It depends on your use case and what you need. Do you mainly need the NAS and the VMs are just "nice to have" or are the VMs important and Hexos is just one part/VM of many for you?
If I see that you want to spin up Ubuntu and Windows, you might as well go with Proxmox and Hexos as a VM, however this comes with it's own challenges. A lot of guides on how to install truenas are outdated/recommend suboptimal settings and you can only pass-through your GPU to 1 VM, meaning if you pass through your GPU to hexos for plex streaming, you can not use it in your ubuntu VM for machine learning in Frigate NVR (this is just an example, not sure Frigate NVR uses GPU acccleration). But on the plus sidey Proxmox is specifically developed to manage VMs and you typically find a lotnof guides and help for itm
Whereas if you use barebone Hexos, you don't have to fiddle with the VM pass-through stuff for Hexos, but the VM managing part might be less optimal and less performant.
According to the Intel spec page, your CPU supports virtualisation. However, it will likely be on the week side if you want to run those 3 OSes together. Also Hexos requires minimum 8GB of RAM, meaning you need to significantly upgrade your memory. Your CPU supports max up to 32GB of RAM and that is probably what you should aim for, since 16GB might be to little.