The problem with a nano-router in a HD-FOX context is that it requires power, and the HD-FOX's USB socket is occupied providing storage for CF. It all gets very messy very quickly (important in a non-techy domestic situation). There is also no direct access to program the nano-router, it has to be temporarily re-jigged.
A dongle is by far the neatest solution, and the experience isn't that bad provided the signal is OK (I rate it better than my experience with powerline), and a nano-router still needs a signal! With better driver support, we could use better dongles in the first place.
Yes, alright, a dongle still needs a USB hub to work with a HD-FOX and CF, but the hub shouldn't need additional power so it's still an uncomplicated solution compared with a nano-router.