Quick feedback concerning something different, because it is not one of those Ali boxes:
Asrock J5040 ITX board (with 4x SATA connectors), Crucial CT16G4SFRA266 16 GB SO-Dimm, Evo 840 250GB ssd and a 10gtek dual port ethernet card (E1G42T, Intel 82576 chipset) plugged into PCIe, Pico PSU attached to a Leicke 75W/12V PSU, running opnsense 27.7 (default installation, only SSH activated for tests). In the BIOS all unneeded hardware was disabled (sound card, on board NIC, serial port) and all standard power saving options enabled. Power consumption measured with a Voltcraft 4000pro
9-10W idle with a hdmi monitor and keyboard plugged in, no ethernet connection
6-7W without keyboard and monitor, no ethernet connection
7-8W without keyboard and monitor, single ethernet connection
Temperature: 34°C idle across all 4 cores.
If someone wants to build a system which requires more drives (e.g. proxmox running opnsense in a vm), this might be an option. The J5040 has a passmark of 3450 (N5105: 4085) and is slightly less powerfull than a N5105, but on the other side you get a rock stable board (my Asrock J1900 seemed to have died last weekend after running for 10 years), and thermal problems aren't relevant. Just put it in a case suitable for a mini itx board and you are good. This system also is perfect for building a NAS. Either stick to the 4 SATA ports or add 6 more by plugging in a sata card.
Interesting: I enabled the C-States, the cpu immediately went into C3 all the time but I didn't notice any power consumption reduction.
Recommendation: someone mentioned that most PSUs have a much lower efficiency when running with less than 10W power consumption (range of 70% instead of 85-87%), so it might be worth to attach more than one computer to the same PSU.