How to download LXC version of OpenWRT and run it on Proxmox

works fine in KVM.
LXC is possible, but it runs better in KVM as it needs some Kernel Access for routing, which KVM is able to provide, LXC not.
If you have a lot of VLAN's, the /etc/config/firewall file gets messy.
LXC way is interesting (not a VM) due to resources constraints on various RPis etc. If to go VM way, there are other alternatives to consider, be it microtic, unify, open* etc