Arduino + MQTT + Ethernet - What Arduino/combo to use?

I’m planning on using a Raspberry Pi 4 as MQTT broker and another Raspberry Pi 4 as main automation + web dashboard.
This seems straight forward enough, but I have a bit of a harder time choosing the best Arduino for the “subsystems” like heating, HVAC, sensor inputs, ect…

I really want to go all wired ethernet, no wifi. So I gues I can go with an Arduino Uno with ethernet shield, or Mega with ethernet shield. But I would also like to use din rail mounts with screw terminals, so shields are more difficult to work with. Now I have seen for example this Arduino Mega with ethernetshield onboard…

Than the question, is the Arduino Mega chip fast enough to effectively use MQTT…? This board also has a ESP-01 socket. But I gues, the ESP module has no direct connection to the Ethernet controller, so you can’t let the ESP handle the MQTT communication. I gues it could via Wifi, but thats not what I want.

Are there arduino (mega) boards with an esp or other fast microprocessor to handle the MQTT stuff with a direct connection to an ethernet port?

I gues there are ESP modules with Ethernet onboard, but I do like the I/O of the Mega. Like for my HVAC valve controller I need at least 10x 5v pwm out ports and 10x 5v analog-in ports. Making this work on an ESP alone seems complicated. Well… at least more complicated than use a simple serial connection to transfer strings with commands from an Arduino to the ESP, and have two seperate programs and
controllers.